Publicação
Principal component analysis of the yield curve
| dc.contributor.advisor | Leiria, Paulo | |
| dc.contributor.advisor | Moura, Marcelo Leite | |
| dc.contributor.author | Dauwe, Alexander | |
| dc.date.accessioned | 2013-05-06T08:51:10Z | |
| dc.date.available | 2013-05-06T08:51:10Z | |
| dc.date.issued | 2009-06 | |
| dc.description | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | |
| dc.description.abstract | This report deals with one of the remaining key problems in financial decision taking: the forecast of the term structure at different time horizons. Specifically: I will forecast the Euro Interest Rate Swap with a macro factor augmented autoregressive principal component model. I achieve forecasts that significantly outperform the Random Walk for medium to long term horizons when using a short rolling time window. Including macro factors leads to even better results. | por |
| dc.identifier.uri | http://hdl.handle.net/10362/9439 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | no | por |
| dc.publisher | NSBE - UNL | |
| dc.title | Principal component analysis of the yield curve | por |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | masterThesis | por |