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. …

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

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

follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more … of forecasting precision when applying our modelling strategy are illustrated by a forecast evaluation. …