Matsumura, Marco; Moreira, Ajax; Vicente, José - In: International Review of Financial Analysis 20 (2011) 5, pp. 237-243
In this work we compare the interest rate forecasting performance of a broad class of linear models. The models are estimated through a MCMC procedure with data from the US and Brazilian markets. We show that a simple parametric specification has the best predictive power, but it does not...