smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2008SMQ / 228146164608764
The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve
Clive G. Bowsher / Roland Meeks
time seriesResource overview

The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve

Paper2008

by Clive G. Bowsher, Roland Meeks

Tags
time series

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for financial time series and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Econometrics and Financial Time Series Explore Fixed Income and Interest-Rate Models

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Clive G. Bowsher, Roland Meeks

3