Interest rate dynamic models: Evidence from Iberian markets

In this paper we investigate the yield curve forecasting performance of dynamic models combining yield curve factors and macroeconomic variables. We test dynamic models using sovereign debt data, inflation rate and annual variation of the industrial production index for Portugal and Spain. We also e...

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Detalhes bibliográficos
Autor principal: Maldonado, Isabel (author)
Outros Autores: Pinho, Carlos (author), Rodríguez de Prado, Francisco (author), Lobo, Carla Azevedo (author)
Formato: article
Idioma:eng
Publicado em: 2018
Assuntos:
Term structure of interest rates factors
Macroeconomic information
Forecasting
DCC
Estructura temporal de las tasas de interés
Información macroeconómica
Previsión
Texto completo:http://hdl.handle.net/11328/2343
País:Portugal
Oai:oai:repositorio.uportu.pt:11328/2343

Texto Completo

http://hdl.handle.net/11328/2343

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