User: Guest  Login
Document type:
Masterarbeit
Author(s):
Imrane Tola
Title:
Modelling Yield Curves and Economic Factors using Vine and Factor Copula Models
Abstract:
This thesis focuses on modelling and forecasting the yield curves and economic factors using vine, factor copula models and factor models. To remove serial dependencies, time series models were employed. The autoregressive moving average model was initially considered, which was then extended by the GARCH model with skew Student’s t innovation. The standardized residuals were then formed and transformed into copula data using the probability integral transform. The dependencies were then modelle...     »
Keywords:
Modelling, forecasting, copula model, regular vine, canonical vine, drawable vine, factor copula model, factor Gaussian model, yield curves, economic factors, inflation rate
Subject:
MAT Mathematik
DDC:
510 Mathematik
Supervisor:
Claudia Czado
Advisor:
Claudia Czado
Date of acceptation:
29.01.2024
Year:
2024
Quarter:
1. Quartal
Year / month:
2024-01
Month:
Jan
Pages:
137
Language:
en
University:
Technische Universität München
Faculty:
TUM School of Computation, Information and Technology
TUM Institution:
Professur für Angewandte Mathematische Statistik
Format:
Text
 BibTeX