文章基本信息

标题：Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial
本地全文：下载
作者：Caio Almeida ; Romeu Gomes ; André Leite 等
期刊名称：Revista Brasileira de Economia
印刷版ISSN：0034-7140
出版年度：2008
卷号：62
期号：4
页码：497-510
语种：English
出版社：Escola de Pós-Graduação em Economia da FGV
摘要：In this paper, we study how different choices of loadings affect forecasting in the exponential term structure model proposed by Diebold and Li (2006). The loadings are defined through a specific parameter lambda which controls both the decaying speed of the slope as well as the maximum of the curvature factors. In particular, adopting a database including Brazilian fixed income future contracts (ID future), we analyze four different rules of choices depending on metrics that minimize forecasting errors, for different forecasting horizons. We conclude that the optimal rule changes for different regions of ID future maturities/different forecasting horizons, indicating that the choice of how movements will be parameterized in this exponential model should be done with care, tailored for each particular application of the model.
其他摘要：In this paper, we study how different choices of loadings affect forecasting in the exponential term structure model proposed by Diebold and Li (2006). The loadings are defined through a specific parameter lambda which controls both the decaying speed of the slope as well as the maximum of the curvature factors. In particular, adopting a database including Brazilian fixed income future contracts (ID future), we analyze four different rules of choices depending on metrics that minimize forecasting errors, for different forecasting horizons. We conclude that the optimal rule changes for different regions of ID future maturities/different forecasting horizons, indicating that the choice of how movements will be parameterized in this exponential model should be done with care, tailored for each particular application of the model.