Favero, Carlo A.; Niu, Linlin; Sala, Luca - 2013
that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact of two … factors, on the forecasting performance. Using US yield curve data, we find that both no-arbitrage and large info help in … significant feedback from yield curve models to macroeconomic variables that could be exploited for macroeconomic forecasting. …