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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Bibliographic Details
Main Author: Maldonado, Isabel (author)
Other Authors: Pinho, Carlos (author), Rodríguez de Prado, Francisco (author), Lobo, Carla Azevedo (author)
Format: article
Language:eng
Published: 2018
Subjects:
Term structure of interest rates factors
Macroeconomic information
Forecasting
DCC
Estructura temporal de las tasas de interés
Información macroeconómica
Previsión
Online Access:http://hdl.handle.net/11328/2343
Country:Portugal
Oai:oai:repositorio.uportu.pt:11328/2343

Internet

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

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