Fourier estimation method applied to forward interest rates

• Liu Nien-Lin

  Research Organization of Science and Engineering, Ritsumeikan University

• Mancino Maria Elvira

  Department of Mathematical for Decisions, University of Florence

抄録

Principal component analysis (PCA) is a general method to analyse the factors of the term structure of interest rates. There are usually two or three factors. However, it is shown by Liu that when we apply PCA to forward rates, not spot rates, we need more factors to explain $95\%$ of variability. In order to verify the robustness of this result, we introduce another method based on Fourier series, which is proposed by Malliavin and Mancino. The results reconfirm the observation of Liu with different data sets. In particular, the Fourier series method gives us similar results to PCA.

収録刊行物

• JSIAM Letters

  JSIAM Letters 4 (0), 17-20, 2012

  一般社団法人 日本応用数理学会

キーワード

• term structure of interest rates
• principal component analysis
• Fourier series method

詳細情報

• CRID: 1390282680276263680
• NII論文ID: 130002129394
• DOI: 10.14495/jsiaml.4.17
• ISSN: 18830617
• ISSN: 18830609
• Web Site: https://www.jstage.jst.go.jp/article/jsiaml/4/0/4_17/_pdf
• 本文言語コード: en
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