Pronósticos de la estructura temporal de las tasas de interés en México con base en un modelo afín

This paper shows that an affine model allows to equalize or improve the forecasts of the term structure of interest rates in Mexico. The forecasting model is a linear relationship between interest rates and three observable factors, using maturities 1-60 months. Affine model predictions are compared...

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Detalhes bibliográficos

Autor principal:	Elizondo, Rocío
Formato:	Online
Idioma:	espanhol
Editor:	El Colegio de México, A.C. 2017
Assuntos:	condición de no arbitraje componentes principales curva de rendimientos pronósticos modelo afín C53 C12 E43 G12 non-arbitrage condition principal components yield curve forecasts affine model
Acesso em linha:	https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/7
Recursos:	Estudios Económicos