Análise de componentes principais de dados funcionais - uma aplicação às estruturas a termo de taxas de juros

Getúlio Silveira and Octavio Bessada Lion

No 73, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: In this paper, we discuss the recent evolution of the domestic interest rate curves. Our approach is original, due to the fact that the data we used were observations of the values of the interest rate functions corresponding to particular arguments, the maturities associated with related instruments. We employ econometric techniques developed by Silverman and Ramsey among others, known as Functional Data Analysis. The results obtained are similar to several others found in the Literature. Specifically, we confirm the existence of three additive components, that have the same interpretation of Litterman& Sheinkman(1991).

Date: 2003-05
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