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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 - In: International journal of forecasting 33 (2017) 2, pp. 373-389
Persistent link: https://www.econbiz.de/10011922068
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Moving beyond Volatility Index (VIX) : HARnessing the term structure of implied volatility
Clements, Adam; Liao, Yin; Tang, Yusui - In: Journal of forecasting 41 (2022) 1, pp. 86-99
Persistent link: https://www.econbiz.de/10012796271
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The term structure of volatility predictability
Li, Xingyi; Zakamulin, Valeriy - In: International journal of forecasting 36 (2020) 2, pp. 723-737
Persistent link: https://www.econbiz.de/10012415339
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Implied volatility term structure and exchange rate predictability
Ornelas, José Renato Haas; Mauad, Roberto Baltieri - In: International journal of forecasting 35 (2019) 4, pp. 1800-1813
Persistent link: https://www.econbiz.de/10012305531
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The expectations theory of interest rates : cointegration and factor decomposition
Choi, Seung-mook S. - In: International journal of forecasting 11 (1995) 2, pp. 253-262
Persistent link: https://www.econbiz.de/10001190025
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Predictions of short-term rates and the expectations hypothesis
Guidolin, Massimo; Thornton, Daniel L. - In: International journal of forecasting 34 (2018) 4, pp. 636-664
Persistent link: https://www.econbiz.de/10012031076
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Predicting recessions with a composite real-time dynamic probit model
Proaño Acosta, Christian; Theobald, Thomas - In: International journal of forecasting 30 (2014) 4, pp. 898-917
Persistent link: https://www.econbiz.de/10010517779
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Adaptive interest rate modelling
Guo, Mengmeng; Härdle, Wolfgang - In: Journal of forecasting 36 (2017) 3, pp. 241-256
Persistent link: https://www.econbiz.de/10011729251
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Model and survey estimates of the term structure of US macroeconomic uncertainty
Clements, Michael P.; Galvão, Ana Beatriz C. - In: International journal of forecasting 33 (2017) 3, pp. 591-604
Persistent link: https://www.econbiz.de/10011746192