基于函数自回归的利率曲线动态性研究
Dynamics of Interest Rate Curve by Functional Auto-Regression
摘要：
本文利用函数自回归方法对利率曲线的动态性进行预测。将降秩自回归方法推广到函数型数据，估计自回归算子。这种估计技术更适合于预测目的，而不是基于主成分或典型相关的方法。利用算子理论的方法证明了估计量的相合性。利用估计方法分析了欧洲美元期货汇率的动态变化。结果表明，未来的利率的变动是可预测的，在1年的视野。
英文摘要：
The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the functional data. Such an estimation technique is better suited for prediction purposes as opposed to the methods based either on principal components or canonical correlations. The consistency of the estimator is proved using methods of operator theory. The estimation method is used to analyze dynamics of Eurodollar futures rates. The results suggest that future movements of interest rates are predictable at 1-year horizons.
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