Dynamics of Interest Rate Curve by Functional Auto-Regression

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dc.creatorKargin, Vladislav
dc.creatorOnatski, Alexei
dc.date2004-11-02
dc.date.accessioned2026-07-07T08:06:35Z
dc.date.available2026-07-07T08:06:35Z
dc.descriptionThe paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the functional data. Such an estimation technique is better suited for prediction purposes as opposed to the methods based either on principal components or canonical correlations. The consistency of the estimator is proved using methods of operator theory. The estimation method is used to analyze dynamics of Eurodollar futures rates. The results suggest that future movements of interest rates are predictable at 1-year horizons.
dc.description22 pages
dc.identifierhttps://arxiv.org/abs/math/0411047
dc.identifierhttp://arxiv.org/abs/math/0411047
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/130655
dc.subjectStatistics Theory
dc.subject62H12; 62H25
dc.titleDynamics of Interest Rate Curve by Functional Auto-Regression
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