Curve forecasting by functional autoregression

Journal of Multivariate Analysis

Volumn 99, Issue 10, 2008, Pages 2508-2526

  Kargin, V ^a   Onatski, A ^b  

^a NEW YORK UNIVERSITY   (United States)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

60G25; 62H25; 91B84; Dimension reduction; Functional data analysis; Interest rates; Predictive factor; Principal component; Reduced rank regression; Singular value decomposition; Term structure

Indexed keywords

EID: 54249167102     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2008.03.001     Document Type: Article

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