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.

该项目旨在开发一套非参数估计和对收益曲线的预测技术，这些曲线描述了利率如何随不同的到期而变化。它对货币政策和固定收入投资的意义对于政策制定者和金融从业人员来说很有趣。鉴于债券市场在不断变化的财务环境中，收益曲线的规范中需要时变特征。预期的结果包括新的统计方法和适用于经济和金融经验问题的预测程序。