Diebold, Francis X. (contributor); Li, Canlin (contributor) - 2003
little
attention to fitting the entire cross section at any given time and has been shown to forecast poorly.
Instead, we …, notably Duffee (2002),
conclude that the models forecast poorly.
In this paper we take an explicitly out-of-sample forecasting … factors, and then we forecast the yield curve by forecasting the factors. Our results are encouraging;
in particular, our …