Econometrics and Statistics Seminar
Time and place: Thursdays, 14:00-15:00 h in the Faculty Lounge (Room 0.036), Juridicum, Adenauerallee 24-42, 53113 Bonn
October 17, 2019 - Bettina Siﬂinger (Tilburg University)
November 14, 2019 - Sven Otto (University Bonn)
"A Dynamic Functional Factor Model for Yield Curves: Identification, Estimation, and Prediction"
Abstract: The problem of yield curve forecasting from a functional time series perspective is discussed. A functional factor model is considered, in which the factors follow some linear autoregressive process. The model is identified by imposing suitable conditions on the factors and the loading functions. By applying the least squares principle, a functional principal components based estimator is obtained, which is shown to be consistent. The minimum mean squared error forecast from the dynamic functional factor model is considered, and pointwise and simultaneous prediction bands are derived. Finally, the accuracy of the predictions and prediction bands is discussed in an out-of-sample experiment with monthly yield curves of U.S. Treasuries.
November 21, 2019 - Lionel Truquet (ENSAI)
December 19, 2019 - Paul Doukhan (University Cergy-Pontoise)
January 09, 2020 - Philipp Ketz (PSE)
January 16, 2020 - Frédéric Ferraty (University Toulouse III)
January 23, 2020 - Göran Kauermann (LMU Munich)