factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study we … the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion …

factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study we … the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion …

simultaneous analysis and forecasting of interest rates of different maturities. The Nelson–Siegel model has been recently …

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are … implementation of our forecasting procedure relies on the multivariate linear Gaussian state space framework and is applied to … national French hourly electricity load. The analysis focuses on two hours, 9 AM and 12 AM, but forecasting results are …

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary … process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields … the problem of forecasting the term structure of interest rates with the assumption that the yield curve is driven by …