Title :
Estimating and Forecasting a German Term Structure
Author :
Tysiak, Wolfgang
Author_Institution :
Univ. of Appl. Sci. Dortmund, Dortmund
Abstract :
To forecast a term structure means that you can not simply forecast the rates for the different times to maturity. By doing so one would neglect the dependencies within the term structure itself. Therefore you have to perform the forecasting in several steps.
Keywords :
economic indicators; finance; forecasting theory; German financial market; German term structure; bonds; currency; forecasting; time series; Conferences; Costs; Data acquisition; Economic indicators; Intelligent structures; Technology forecasting; ARIMA; Nelson-Siegel-approach; factor analysis; yield curve;
Conference_Titel :
Intelligent Data Acquisition and Advanced Computing Systems: Technology and Applications, 2007. IDAACS 2007. 4th IEEE Workshop on
Conference_Location :
Dortmund
Print_ISBN :
978-1-4244-1347-8
Electronic_ISBN :
978-1-4244-1348-5
DOI :
10.1109/IDAACS.2007.4488467
