The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve.
The class of Functional Signal plus Noise (FSN) models is introduced that provides a new, general method for modelling and forecasting time series of economic functions. The underlying, continuous economic function (or ‘signal’) is a natural cubic spline whose dynamic evolution is driven by a cointe...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Oxford Finance
2008
|