Lekkos, Ilias; Milas, Costas; Panagiotidis, Theodore - School of Business and Economics, Loughborough University - 2005
to predict swap spreads with that of a non-linear nearest-neighbours model as well as that of linear AR and VAR models …. We find some evidence that the nearest-neighbours and STVAR models predict better than the linear AR and VAR models …-linear class of models, the nearest-neighbours model predicts better than the STVAR model US swap spreads in periods of increasing …