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Document type:
Masterarbeit 
Author(s):
Klotz, Stefan 
Title:
Interantional Yield Curve Prediction with Common Functional Principal Component Analysis 
Abstract:
Yield curve modeling and forecasting is important in economics, finance and academia. The thesis at hand proposes a common functional principal component (CFPC) model to reveal the common factors of yield curves of different economic regions. The CFPC model is data-driven and can precisely detect the common dynamic structure of international yield curves. In particular, we extend the autoregression of lag order 1 (AR(1)) forecasting to a local autoregression of lag order 1 (LAR(1)) prediction ap...    »
 
Supervisor:
Prof. Dr. Rudi Zagst & PhD Ying Chen 
Advisor:
Prof. Dr. Rudi Zagst & PhD Ying Chen 
Year:
2015 
University:
Technische Universität München 
End of processing:
08.01.2016