Nonparametric estimation and forecasting of yield curve dynamics

Project: Research

Project Description

Estimation and forecasting of the yield curve has been of perpetual interest to policy makers and financial practitioners, due in large part to its significance for monetary policy and fixed-income investment. Time-varying features are needed in the specification of the yield curve, given the constantly changing financial environment in which bond markets operate. This project aims to develop a suite of new nonparametric estimation and forecasting techniques for yield curves in which such time-varying features are accommodated. The goal of the project is to derive relevant econometric theory, to propose new statistical methods and forecasting procedures, and to apply these new techniques to empirical problems in economics and finance.
StatusActive
Effective start/end date1/01/1731/12/19

Funding

  • Australian Research Council (ARC): AUD293,124.00
  • Australian Research Council (ARC): AUD46,876.00