Publicação
Principal component: analysis of the yield curve
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Leiria, Paulo | |
| dc.contributor.advisor | Moura, Marcelo | |
| dc.contributor.author | Dawue, Alexander | |
| dc.date.accessioned | 2026-08-27T16:58:59Z | |
| dc.date.available | 2026-08-27T16:58:59Z | |
| dc.date.issued | 2009-06-12 | |
| dc.date.submitted | 2009-06-12 | |
| dc.description | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the Faculdade de Economia da Universidade Nova de Lisboa | |
| 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. | eng |
| dc.identifier.uri | http://hdl.handle.net/10362/205813 | |
| dc.language.iso | eng | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.title | Principal component: analysis of the yield curve | eng |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| thesis.degree.name | Mestrado em Finanças |