Search Results - subject:"yield curve prediction"

Practical use of sensitivity in econometrics with an illustration to forecast combinationsPractical use of sensitivity in econometrics with an illustration to forecast combinations

Magnus, Jan R.; Vasnev, Andrey L. - Business School, University of Sydney - 2013

Sensitivity analysis is important for its own sake and also in combination with diagnostic testing. We consider the question how to use sensitivity statistics in practice, in particular how to judge whether sensitivity is large or small. For this purpose we distinguish between absolute and...

Persistent link: https://www.econbiz.de/10010685234

Consistent yield curve prediction

Teichmann, Josef; Wüthrich, Mario V. - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 191-224

Persistent link: https://www.econbiz.de/10011576708

Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model

van Dijk, Dick; Groenen, Patrick; Exterkate, Exterkate, P. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

Various ways of extracting macroeconomic information from a data-rich environment are compared with the objective of forecasting yield curves using the Nelson-Siegel model. Five issues in factor extraction are addressed, namely, selection of a subset of the available information, incorporation...

Persistent link: https://www.econbiz.de/10010837816

Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model

Exterkate, P.; Dijk, D.J.C. van; Heij, C.; Groenen, P.J.F. - Erasmus University Rotterdam, Econometric Institute - 2010

Persistent link: https://www.econbiz.de/10008584658

Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations

Magnus, Jan R.; Vasnev, Andrey L. - In: International journal of forecasting 31 (2015) 3, pp. 769-781

Persistent link: https://www.econbiz.de/10011474558