In this study we investigate the yield curve forecasting performance of Dynamic Nelson–Siegel Model (DNS), affine term … variables in forecasting the yield curve. We have reached numbers of important results: 1—Macroeconomic variables are very … useful in forecasting the yield curve. 2—The forecasting performances of the models depend on the period under review. 3 …

The increasing interest aroused by more advanced forecasting techniques, together with the requirement for more … evaluate the forecasting performance of neural modelling relative to that of time series methods at a regional level … compare the forecasting performance of linear models to that of nonlinear alternative approaches. Pre-processed official …

Autoregression model with latent factors extracted from the dataset, as proposed by Bernanke et al. (2005). The main results can be … to react much more significantly than EUA spot and futures prices. Third, the factors explain about 50% of the total …

money supply, and to a lesser extent, exchange rates and GDP. …

check the adjustment process of health care expenditure to changes in per capita Gross Domestic Product (GDP) and its …