Forecasting for the Bank's Asset-Liability Management

The paper aims at finding the most optimal individual, collective, and combined yield curve forecasting models. It is shown that incorporating macroeconomic information improves the model's goodness-of-fit characteristics. It is also proved that combined forecasts perform better on average when are based upon weights for individual ones

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Year of publication:	2008
Authors:	Penikas, Henry
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 12.2008, 4, p. 3-26
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	asset-liability management \| combined forecast \| MosPrime \| Russia \| yield curve

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Extent:	application/pdf
Type of publication:	Article
Language:	German
Classification:	C22 - Time-Series Models ; c58 ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009291920