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The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …
Persistent link: https://www.econbiz.de/10010284099
In this paper we propose a strategy for forecasting the term structure of interest rates which may produce significant …
Persistent link: https://www.econbiz.de/10010284219
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …
Persistent link: https://www.econbiz.de/10010286274