Examining the forecasting performance of a modified affine model with macroeconomic and latent factors
Anastasios Evgenidis, Costas Siriopoulos
| Year of publication: |
2015
|
|---|---|
| Authors: | Evgenidis, Anastasios ; Siriopoulos, Costas |
| Published in: |
The journal of prediction markets. - Buckingham : Univ. of Buckingham Press, ISSN 1750-6751, ZDB-ID 2388613-4. - Vol. 9.2015, 1, p. 33-52
|
| Subject: | Affine models | Yield curve | Kalman filter | Out of sample forecasting | Prognoseverfahren | Forecasting model | Zinsstruktur | Theorie | Theory | Zustandsraummodell | State space model | Kapitaleinkommen | Capital income | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011346873