Forecasting the yield curve: A statistical model with market survey data
✍ Scribed by André Luís Leite; Romeu Braz Pereira Gomes Filho; José Valentim Machado Vicente
- Book ID
- 116577416
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 541 KB
- Volume
- 19
- Category
- Article
- ISSN
- 1057-5219
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## ABSTRACT This paper compares various ways of extracting macroeconomic information from a data‐rich environment for forecasting the yield curve using the Nelson–Siegel model. Five issues in extracting factors from a large panel of macro variables are addressed; namely, selection of a subset of th
## Abstract This article reviews a range of leading methods to model the background error covariance matrix (the **B**‐matrix) in modern variational data assimilation systems. Owing partly to its very large rank, the **B**‐matrix is impossible to use in an explicit fashion in an operational setting