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Forecasting the Yield Curve with S-Plus (CROSBI ID 141185)
Prilog u časopisu | stručni rad
Ciraki, Dario
Forecasting the Yield Curve with S-Plus // Wilmott, 3 (2007), (86-1)-(93-6)
Podaci o odgovornosti
Ciraki, Dario
engleski
Forecasting the Yield Curve with S-Plus
This paper carry out an array of backtests comparing out-of sample preformance of various multivariante linear models such as PCAVAR and multivariate Garch models, along with a combinations of Nelson-siegel-Svensson and MGARCH methods.
forcasting; multivariante linear models; EU terms structure data
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