Modeling and forecasting the yield curve: a state-space approach integrating macroeconomic and market proxy variables
Trivelli, Luca (A.A. 2023/2024) Modeling and forecasting the yield curve: a state-space approach integrating macroeconomic and market proxy variables. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 68. [Master's Degree Thesis]
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Abstract/Index
Theoretical framework. Dynamic factor modeling of the yield curve: a state-space approach to the Diebold-Li model. Yield curve modeling. Data. Yields-only model estimation. Yields-macro model estimation. Yields-market model estimation. Strategy. Level-driven strategy. Slope-driven strategy. Curvature-driven strategy.
References
Bibliografia: pp. 54-55.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Cybo, Ottone Alberto |
| Academic Year: | 2023/2024 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 22 May 2025 14:09 |
| Last Modified: | 22 May 2025 14:09 |
| URI: | https://tesi.luiss.it/id/eprint/42216 |
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