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San Diego State University

Fowler College of
Business Administration

Intellectual Contribution

Title
Empirical analysis of the US Swap Curve
Author(s)
Gough, O., Juneja, J., Nowman, K. B., Dellen, S. V.
Type of Research
Peer-Reviewed Journal Articles
Date Published
2013, After July
Contribution Type
Discipline-based scholarship (basic research)
Contribution Category
D
Points
3
Publication Title
Empirical Economics Letters
Location
Bangladesh
Volume(s)
12
Edition
9
Page Number(s)
985-994
URL
http://www.eel.my100megs.com/volume-12-number-9.htm
Abstract
This paper provides an empirical analysis of the US swap rate curve using principal components analysis (PCA) to identify the factors which explain the variation in the data. We also investigate the forecasting performance of different econometric models for individual maturities across the curve using daily data over the period 1998 to 2011. The PCA analysis indicates that the first two factors explain approximately 99.76% of the cumulative variation in the sample. We also find that a continuous time modelling approach has a satisfactory performance across the curve based on the RMSE.