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 …

that we may include it as a forecasting variable in GDP forecasting models, especially nonlinear models, for these three … Product (GDP) for the major developed countries. Considering the limitation of a linear Granger causality test in detecting … test show that this new variable contains useful information to forecast GDP for the US, the UK, and Australia, suggesting …

indicates unidirectional causality running from energy consumption to GDP for the United Kingdom, while a bidirectional … causality between energy consumption and GDP is found for Canada, France, Japan and United States. On the other hand, Kyrtsou …–Labys test shows that a unidirectional causality runs from energy consumption to GDP for France and the United States, and from …