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Inference in functional factor models with applications to yield curves

  • Published:2022-02-14 Issue:6 Volume:43 Page:872-894
  • ISSN:0143-9782
  • Container-title:Journal of Time Series Analysis
  • language:en
  • Short-container-title:Journal Time Series Analysis

Author:

Horváth Lajos1ORCID,Kokoszka Piotr2ORCID,VanderDoes Jeremy3,Wang Shixuan4ORCID

Affiliation:

1. Department of Mathematics University of Utah Salt Lake City UT USA

2. Department of Statistics Colorado State University Fort Collins CO USA

3. Department of Statistics and Actuarial Science University of Waterloo Waterloo ON Canada

4. Department of Economics University of Reading Reading UK

Funder

National Science Foundation of Sri Lanka

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference37 articles.

1. New estimates of the UK real and nominal yield curves;Anderson N;Bank of England Quarterly Bulletin,1999

2. Estimating the spot rate curve using the Nelson–Siegel model

3. Break detection in the covariance structure of multivariate time series models

4. Bank for International Settlements.2005.Zero‐Coupon Yield Curves: Technical Documentation.

5. Bank of England.2020.Daily Estimated Yield Curves for the UK.https://www.bankofengland.co.uk/statistics/yield‐curves

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