IRIS PubliCatt
PubliCatt è il repository istituzionale ad accesso aperto dell'Università Cattolica del Sacro Cuore, dove gli utenti autorizzati afferenti all'Ateneo provvedono direttamente e autonomamente a depositare e a rendere visibili le proprie pubblicazioni, inserendo i dati descrittivi del documento stesso ("metadati", quali il titolo, autore, abstract, etc.) e, laddove possibile, il testo della pubblicazione stessa (full-text).
PubliCatt utilizza la piattaforma IRIS (Institutional Research Information System) sviluppata da CINECA.
EnglishGeostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply the proposed method to forecast Euro Zero Rates (2003–2014) using the Ordinary Kriging method based on the anisotropic variogram. Furthermore, a comparison with other recent methods for forecasting yield curves is proposed. The results show that the model is characterized by good levels of predictions’ accuracy and it is competitive with the other forecasting models considered.
Arbia, G., Di Marcantonio, M., Forecasting Interest Rates Using Geostatistical Techniques, <<ECONOMETRICS>>, 2015; 3 (4): 733-760. [doi:10.3390/econometrics3040733] [http://hdl.handle.net/10807/69150]
| Autori: | |
| Titolo: | Forecasting Interest Rates Using Geostatistical Techniques |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.3390/econometrics3040733 |
| URL: | http://www.mdpi.com/2225-1146/3/4/733 |
| Data di pubblicazione: | 2015 |
| Abstract: | Geostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply the proposed method to forecast Euro Zero Rates (2003–2014) using the Ordinary Kriging method based on the anisotropic variogram. Furthermore, a comparison with other recent methods for forecasting yield curves is proposed. The results show that the model is characterized by good levels of predictions’ accuracy and it is competitive with the other forecasting models considered. |
| Lingua: | Inglese |
| Rivista: | |
| Citazione: | Arbia, G., Di Marcantonio, M., Forecasting Interest Rates Using Geostatistical Techniques, <<ECONOMETRICS>>, 2015; 3 (4): 733-760. [doi:10.3390/econometrics3040733] [http://hdl.handle.net/10807/69150] |
| Appare nelle tipologie: | Articolo in rivista, Nota a sentenza |
File in questo prodotto:
Copyright © 2021