Forecasting Interest Rates Using Geostatistical Techniques

Giuseppe Arbia, Michele Di Marcantonio

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

3 Citazioni (Scopus)

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 originaleEnglish
pagine (da-a)733-760
Numero di pagine28
RivistaEconometrics
Volume3
DOI
Stato di pubblicazionePubblicato - 2015

Keywords

  • Ordinary Kriging
  • forecasting
  • geostatistics
  • term structure
  • variogram
  • yield curve

Fingerprint

Entra nei temi di ricerca di 'Forecasting Interest Rates Using Geostatistical Techniques'. Insieme formano una fingerprint unica.

Cita questo