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 …

In this paper we propose a strategy for forecasting the term structure of interest rates which may produce significant …

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. …

factors behind the credit and liquidity risk components. The out-of-sample forecasting properties of the resultant econometric …

. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors …