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Forecasting the US term structure of interest rates using nonparametric functional data analysis
Caldeira, João F.; Torrent, Hudson da Silva - In: Journal of forecasting 36 (2017) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10011729058
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Yield curve forecasting with the Burg model
Rostan, Pierre; Belhachemi, Rachid; Racicot, François-Éric - In: Journal of forecasting 36 (2017) 1, pp. 91-99
Persistent link: https://www.econbiz.de/10011729073
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Yield spread selection in predicting recession probabilities
Choi, Jaehyuk; Ge, Desheng; Kang, Kyu Ho; Sohn, Sungbin - In: Journal of forecasting 42 (2023) 7, pp. 1772-1785
Persistent link: https://www.econbiz.de/10014432757
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Adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver; Herwartz, Helmut - In: Journal of forecasting 28 (2009) 7, pp. 575-594
Persistent link: https://www.econbiz.de/10003902215
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Forecasting government bond yields with neural networks considering cointegration
Wegener, Christoph; Spreckelsen, Christian von; Basse, … - In: Journal of forecasting 35 (2016) 1, pp. 86-92
Persistent link: https://www.econbiz.de/10011417732
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Nelson-Siegel, Affine and Quadratic Yield Curve specifications : which one is better at forecasting?
Nyholm, Ken; Vidova-Koleva, Rositsa - In: Journal of forecasting 31 (2012) 6, pp. 540-564
Persistent link: https://www.econbiz.de/10009661521
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Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model
Exterkate, Peter; Dijk, Dick van; Heij, Christiaan; … - In: Journal of forecasting 32 (2013) 3, pp. 193-214
Persistent link: https://www.econbiz.de/10009758656
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Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models : a quantile autoregression approach
De Rezende, Rafael B.; Ferreira, Mauro S. - In: Journal of forecasting 32 (2013) 2, pp. 111-123
Persistent link: https://www.econbiz.de/10009758689
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Term structure forecasting of government bond yields with latent and macroeconomic factors : do macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa - In: Journal of forecasting 32 (2013) 8, pp. 702-723
Persistent link: https://www.econbiz.de/10010344463
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Forecasting the term structure of interest rates using integrated nested Laplace approximations
Laurini, Márcio Poletti; Hotta, Luiz K. - In: Journal of forecasting 33 (2014) 3, pp. 214-230
Persistent link: https://www.econbiz.de/10010424830