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(Referência obtida automaticamente do Web of Science, por meio da informação sobre o financiamento pela FAPESP e o número do processo correspondente, incluída na publicação pelos autores.)

Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines

Texto completo
Autor(es):
Mineo, Eduardo [1] ; Alencar, Airlane Pereira [1] ; Moura, Marcelo [2] ; Fabris, Antonio Elias [1]
Número total de Autores: 4
Afiliação do(s) autor(es):
[1] Univ Sao Paulo, Inst Matemat & Estat, BR-05508090 Sao Paulo - Brazil
[2] Moura Madalozzo Consultoria Econ, BR-04560010 Sao Paulo - Brazil
Número total de Afiliações: 2
Tipo de documento: Artigo Científico
Fonte: JOURNAL OF RISK AND FINANCIAL MANAGEMENT; v. 13, n. 4 APR 2020.
Citações Web of Science: 0
Resumo

The Nelson-Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for sensible term structure shapes affecting forecast results. We propose DCOBS with no-arbitrage restrictions, a dynamic constrained smoothing B-splines yield curve model. Even though DCOBS may provide more volatile forward curves than parametric models, they are still more accurate than those from Nelson-Siegel frameworks. DCOBS has been evaluated for ten years of US Daily Treasury Yield Curve Rates, and it is consistent with stylized facts of yield curves. DCOBS has great predictability power, especially in short and middle-term forecast, and has shown greater stability and lower root mean square errors than an Arbitrage-Free Nelson-Siegel model. (AU)

Processo FAPESP: 18/04654-9 - Séries temporais, ondaletas e dados de alta dimensão
Beneficiário:Pedro Alberto Morettin
Linha de fomento: Auxílio à Pesquisa - Temático