Nonparametric estimation and forecasting of yield curve dynamics

收益率曲线动态的非参数估计和预测

• 批准号: DE170100713
• 负责人: A/Prof Bonsoo Koo
• 金额: $ 23.79万
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Early Career Researcher Award
• 财政年份: 2017
• 资助国家: 澳大利亚
• 起止时间: 2017-07-01 至 2022-11-30
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DE170100713
• 关键词: Nonparametric; estimation; forecasting; yield; curve

This project aims to develop a suite of nonparametric estimation and forecasting techniques for yield curves, which describe how interest rates vary with different maturities. Its significance for monetary policy and fixed-income investment is interesting to policy makers and financial practitioners. Time-varying features are needed in the specification of the yield curve, given the constantly changing financial environment in which bond markets operate. Expected outcomes include new statistical methods and forecasting procedures applicable to empirical problems in economics and finance.

本项目旨在开发一套收益率曲线的非参数估计和预测技术，描述利率如何随不同期限而变化。它对货币政策和固定收益投资的意义是政策制定者和金融从业者感兴趣的。鉴于债券市场运作的金融环境不断变化，收益率曲线的具体说明需要具有时变特征。预期成果包括适用于经济学和金融学经验问题的新统计方法和预测程序。