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Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346
Persistent link: https://www.econbiz.de/10011580766
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Does realized volatility help bond yield density prediction?
Shin, Minchul; Zhong, Molin - 2015 - This version: September 19, 2015
forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor …
Persistent link: https://www.econbiz.de/10011499535
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The arbitrage-free generalized Nelson-Siegel term structure model : does a good in-sample fit imply better out-of-sample forecasts?
Ullah, Wali - In: Empirical economics : a journal of the Institute for … 59 (2020) 3, pp. 1243-1284
Persistent link: https://www.econbiz.de/10012285551
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The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper; Kjær, Mads Markvart; … - In: Journal of banking & finance 155 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014490508
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A dynamic Nelson-Siegel yield curve model with Markov switching
Levant, Jared; Ma, Jun - In: Economic modelling 67 (2017), pp. 73-87
Persistent link: https://www.econbiz.de/10011813779
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Nelson-Siegel decay factor and term premia in Japan
Koeda, Junko; Sekine, Atsushi - In: Journal of the Japanese and international economies : … 64 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013332206
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Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
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Forecasting economic activity from yield curve factors
Argyropoulos, Efthymios; Tzavalis, Elias - In: The North American journal of economics and finance : a … 36 (2016), pp. 293-311
Persistent link: https://www.econbiz.de/10011672685
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Fitting and forecasting yield curves with a mixed-frequency affine model : evidence from China
Shang, Yuhuang; Zheng, Tingguo - In: Economic modelling 68 (2018), pp. 145-154
Persistent link: https://www.econbiz.de/10011934605
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Catching the curl : wavelet thresholding improves forward curve modelling
Power, Gabriel J.; Eaves, James; Turvey, Calum Greig; … - In: Economic modelling 64 (2017), pp. 312-321
Persistent link: https://www.econbiz.de/10011761254