Financial Econometrics Project

This repository contains the results of our efforts to predict the zero-coupon yield curve. In particular,

1. Prediction of yields of bonds with different times to maturity using different time series
2. Construction of time series of factors of the Nelson-Siegel dynamic model and their prediction
3. Bond cointegration analysis

To quickly familiarize yourself with the results, we recommend that you refer to the "Presentation and report materials" subdirectory. In particular, with report.