Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging
Year of publication: |
2010-03
|
---|---|
Authors: | Audrino, Francesco ; Medeiros, Marcelo Cunha |
Institutions: | Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro |
Subject: | short-term interest rate | regression tree | smooth transition | conditional variance | bagging | asymptotic theory |
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