Similar Search Results

Examining the Nelson-Siegel Class of Term Structure Models

Pooter, Michiel De - 2007

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Persistent link: https://www.econbiz.de/10010325534

Examining the Nelson-Siegel Class of Term Structure Models : In-Sample Fit versus Out-of-Sample Forecasting Performance

De Pooter, Michiel - 2007

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Persistent link: https://www.econbiz.de/10014049944

Examining the Nelson-Siegel Class of Term Structure Models

Pooter, Michiel De - Tinbergen Institute - 2007

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Persistent link: https://www.econbiz.de/10005137361

Examining the Nelson-Siegel Class of Term Structure Models

Pooter, Michiel De - Tinbergen Instituut - 2007

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Persistent link: https://www.econbiz.de/10011256459

Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

Koopman, Siem Jan; Wel, Michel van der - 2011

factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study we … the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion …

Persistent link: https://www.econbiz.de/10011386428

The macroeconomy and the yield curve : a nonstructural analysis

Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. … - 2003

We estimate a model with latent factors that summarize the yield curve (namely, level, slope, and curvature) as well as observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a characterization of the dynamic interactions between...

Persistent link: https://www.econbiz.de/10009764768

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

yield curve where the informational advantage exists and transmits the superior forecasting ability to all remaining yields … are widely adopted by financial and policy institutions for forecasting the term structure of interest rates. …

Persistent link: https://www.econbiz.de/10010190487

Yield Curve Factors, Factor Volatilities, and the Predictability of Bond Excess Returns

Hautsch, Nikolaus; Ou, Yangguoyi - 2008

returns we observe that the slope and curvature yield factors contain the same explanatory power as the return-forecasting …

Persistent link: https://www.econbiz.de/10014219528

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007

simultaneous analysis and forecasting of interest rates of different maturities. The Nelson–Siegel model has been recently …

Persistent link: https://www.econbiz.de/10011373825

Predicting the term structure of interest rates : incorporating parameter uncertainty, model uncertainty and macroeconomic information

Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2007 - This version: March 3, 2007

. Our results show that adding macroeconomic factors is very beneficial for improving the out-of-sample forecasting … substantial gains in forecasting performance, especially when applying Bayesian model averaging. …

Persistent link: https://www.econbiz.de/10011372519

1
2
3
4
5
6
7
8
9
10
Next
Last