Krishnan, C. N. V. (contributor); … - 2003 - [Elektronische Ressource]
whether the slope of the yield
curve is capable of predicting future changes in the short rate. Shiller, Campbell and Schoen … riskless yield curve for each day. To set this up, for each day
we use the weekly 3-month, 6-month, one, two, three, five … determine the riskless yield
curve. The figure shows histogram plots for all the one-step-ahead prediction errors, by maturity …