Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
Year of publication: |
2007-03-09
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Authors: | Pooter, Michiel D. de ; Ravazzolo, Francesco ; Dijk, Dick van |
Institutions: | Tinbergen Instituut |
Subject: | Term structure of interest rates | Nelson-Siegel model | Affine term structure model | forecast combination | Bayesian analysis |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 07-028/4 |
Classification: | C5 - Econometric Modeling ; C11 - Bayesian Analysis ; C32 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E47 - Forecasting and Simulation ; F47 - Forecasting and Simulation |
Source: |
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de Pooter, Michiel D., (2007)
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Pooter, Michiel de, (2007)
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Pooter, Michiel D. de, (2007)
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Pooter, Michiel D. de, (2007)
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On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
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On the Effects of Private Information on Volatility
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