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- W1549271202 abstract "To investigate yield curve dynamics, researchers have employed a wide variety of models, including the famous Nelson-Siegel level, slope, and curvature factors, and principal components analysis, among others. In this paper, we decompose the term structure of HIBOR (Hong Kong Interbank Offered Rate) swap rates by means of the Nelson-Siegel factors and principal components analysis, and employ autoregressive and vector autoregressive for ex ante forecasting the yield curve by predicting the dynamic factors and components. We compare the results of a broadly empirical prediction with benchmark models such as random walk and yield levels. Further, we survey the predictability in the shape of the swap yield curve for these models. Our results appear to show that the Nelson-Siegel model with autoregressive process on factor changes is the most efficient model for forecasting HIBOR swap yields." @default.
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- W1549271202 date "2012-01-01" @default.
- W1549271202 modified "2023-09-23" @default.
- W1549271202 title "Forecasting Term Structure of Libor Swap Rates" @default.
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