FORECASTING INTEREST RATES - A COMPARATIVE ASSESSMENT OF SOME SECOND GENERATION NON-LINEAR MODELS
Year of publication: |
2005-01
|
---|---|
Authors: | Nachane, Dilip M. ; Clavel, Jose G. |
Institutions: | East Asian Bureau of Economic Research (EABER) |
Subject: | interest rates | wavelets | mixed spectra | non-linear ARMA | Kalman filter | GARCH | Forecast encompassing |
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