کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477516 | 930393 | 2005 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An error correction factor model of term structure slopes in international swap markets
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: An error correction factor model of term structure slopes in international swap markets An error correction factor model of term structure slopes in international swap markets](/preview/png/10477516.png)
چکیده انگلیسی
The first two principal components in a vector of term structure slopes from IRS markets in eight major currencies explain above 90% of the fluctuations in the vector of slopes, and each of the eight slopes considered is cointegrated with these two factors. The implied error correction models are shown to be accurate for short-0 and medium-term slope forecasting for the eight currencies, as compared to univariate models, which allows for a drastic reduction of dimensionality, since we just need to use univariate forecasts for the two factors. Adding more factors to the model does not lead to a significant improvement in forecasting performance, while forecasts obtained using just one factor are not as good as those from two-factor error correction models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 15, Issue 3, July 2005, Pages 229-254
Journal: Journal of International Financial Markets, Institutions and Money - Volume 15, Issue 3, July 2005, Pages 229-254
نویسندگان
Pilar Abad, Alfonso Novales,