Chua, Choong Tze; Ramaswamy, Krishna; Stine, Robert A. - 2009
choice from among these alternatives is
the ability of the model to forecast forward rates or futures prices.
In a recent … here is to show that a representative member chosen from this class of models
is able forecast 90-day forward rates to … useful, most notably at longer forecast horizons.
In the remainder of this paper, we describe the general class of models …