Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial

Caio Almeida (), Romeu Gomes, André Leite and José Vicente

Revista Brasileira de Economia - RBE, 2008, vol. 62, issue 4

Abstract: In this paper, we study how different choices of loadings affect forecasting in the exponential term structure model proposed by Diebold and Li (2006). The loadings are defined through a specific parameter lambda which controls both the decaying speed of the slope as well as the maximum of the curvature factors. In particular, adopting a database including Brazilian fixed income future contracts (ID future), we analyze four different rules of choices depending on metrics that minimize forecasting errors, for different forecasting horizons. We conclude that the optimal rule changes for different regions of ID future maturities/different forecasting horizons, indicating that the choice of how movements will be parameterized in this exponential model should be done with care, tailored for each particular application of the model.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://periodicos.fgv.br/rbe/article/view/1186 (text/html)

Related works:
Working Paper: Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgrbe:v:62:y:2008:i:4:a:1186

Access Statistics for this article

Revista Brasileira de Economia - RBE is currently edited by Ricardo Cavalcanti

More articles in Revista Brasileira de Economia - RBE from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().