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Activity Number:
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541
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Type:
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Invited
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Date/Time:
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Thursday, August 6, 2009 : 8:30 AM to 10:20 AM
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Sponsor:
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WNAR
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| Abstract - #303083 |
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Title:
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Modeling and Forecasting Bond Yield Curves with Functional Dynamic Models
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Author(s):
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Rong Chen*+
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Companies:
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Rutgers University
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Address:
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Department of Statistics, Piscataway, NJ, 08854,
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Keywords:
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yield curve ; dynamic models ; sequential Monte Carlo ; forecasting
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Abstract:
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Modeling and forecasting the term structure of interest rate (yield curve) of government bonds is an important topic in finance. The yield curve is the functional relationship between interest rate and the time to maturity of a bond. It is crucial for bond portfolio management, risk management and many other finance and economic activities. Modeling yield curves has been studied extensively in finance and economics. However, most of the research focus on estimating the yield curve at a fixed time and do not consider the dynamical nature of the curves over time. These approaches also fail to address the important issue of prediction, which is important for both derivative pricing and risk management. In this study we build a dynamic process driven functional time series model and use Sequential Monte Carlo methods for inference and prediction.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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