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https://hdl.handle.net/1822/16221
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Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Mena, Filipe C. | - |
dc.contributor.author | Covas, Eurico | - |
dc.date.accessioned | 2012-01-05T17:01:52Z | - |
dc.date.available | 2012-01-05T17:01:52Z | - |
dc.date.issued | 2011 | - |
dc.identifier.isbn | 9783642114557 | por |
dc.identifier.issn | 2190-5614 | por |
dc.identifier.uri | https://hdl.handle.net/1822/16221 | - |
dc.description.abstract | We examine models of yield curves through chaotic dynamical systems whose dynamics can be unfolded using non-linear embeddings in higher dimensions. We refine recent techniques used in the state space reconstruction of spatially extended time series in order to forecast the dynamics of yield curves. We use daily LIBOR GBP data (January 2007-June 2008) in order to perform forecasts over a 1-month horizon. Our method outperforms random walk and other benchmark models on the basis of mean square forecast error criteria. | por |
dc.description.sponsorship | We thank HSBC Bank Plc. for hospitality and for providing the data, Faisal Yousaf at HSBC for interesting discussions and for reading the draft paper and the hive team for providing the analytical software packages for parts of this work. FCM thanks CMAT (University of Minho) and HSBC for financial support. We also thank Christian Merkwirth for useful insights into the Parlitz-Merkwirth method and the numerical approach. | por |
dc.language.iso | eng | por |
dc.publisher | Springer | por |
dc.rights | restrictedAccess | por |
dc.title | Forecasting of yield curves using local state space reconstruction | por |
dc.type | conferencePaper | - |
dc.peerreviewed | yes | por |
dc.relation.publisherversion | http://www.springer.com/mathematics/dynamical+systems/book/978-3-642-11455-7 | por |
sdum.publicationstatus | published | por |
oaire.citationConferenceDate | 8 Set - 12 Set. 2008 | por |
oaire.citationStartPage | 243 | por |
oaire.citationEndPage | 252 | por |
oaire.citationConferencePlace | Braga, Portugal | por |
oaire.citationTitle | Dynamics and Applications - in honour of Mauricio Peixoto and David Rand | por |
oaire.citationVolume | 1 | por |
dc.identifier.doi | 10.1007/978-3-642-11456-4_16 | por |
dc.subject.wos | Science & Technology | por |
sdum.journal | Springer Proceedings in Mathematics | por |
sdum.conferencePublication | Dynamics and Applications - in honour of Mauricio Peixoto and David Rand | por |
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Covas-Mena-DYNA-2011.pdf Acesso restrito! | 268,54 kB | Adobe PDF | Ver/Abrir |