کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477792 | 930625 | 2005 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Forecasting the comovements of spot interest rates
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Time-varying covariance models are compared in the French and German interest rate markets of the pre-euro period. A bivariate, asymmetric dynamic covariance model with level effect best characterizes the in-sample variance-covariance dynamics. Model comparison using economic loss functions raises some doubts with alternative models performing similarly. Out-of-sample results show that the variance-covariance matrix is best forecasted using a VECH model with level effect but no volatility spillover, not entirely confirming the in-sample evidence. Simple models using exponentially-weighted moving averages of past observations perform similarly to the best bivariate model. Thus, some features required to obtain a good in-sample fit do not have additional out-of-sample forecasting power due to overfitting.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 24, Issue 5, September 2005, Pages 766-792
Journal: Journal of International Money and Finance - Volume 24, Issue 5, September 2005, Pages 766-792
نویسندگان
Miguel A. Ferreira,