Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/171855
Autoren: 
Arbia, Giuseppe
Di Marcantonio, Michele
Datum: 
2015
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 3 [Year:] 2015 [Issue:] 4 [Pages:] 733-760
Zusammenfassung: 
Geostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply the proposed method to forecast Euro Zero Rates (2003-2014) using the Ordinary Kriging method based on the anisotropic variogram. Furthermore, a comparison with other recent methods for forecasting yield curves is proposed. The results show that the model is characterized by good levels of predictions' accuracy and it is competitive with the other forecasting models considered.
Schlagwörter: 
term structure
yield curve
forecasting
geostatistics
variogram
Ordinary Kriging
JEL: 
C3
C53
E43
E47
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
http://creativecommons.org/licenses/by/4.0/
Dokumentart: 
Article
Nennungen in sozialen Medien:

2



Datei(en):
Datei
Größe
1.33 MB





Publikationen in EconStor sind urheberrechtlich geschützt.