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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

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

The incremental information in the yield curve about future interest rate risk

Christensen, Bent Jesper; Kjær, Mads Markvart; … - 2021 - This version: June 28, 2021

Persistent link: https://www.econbiz.de/10012621334

The arbitrage-free generalized Nelson-Siegel term structure model : does a good in-sample fit imply better out-of-sample forecasts?

Ullah, Wali - In: Empirical economics : a journal of the Institute for … 59 (2020) 3, pp. 1243-1284

Persistent link: https://www.econbiz.de/10012285551

Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?

Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346

Persistent link: https://www.econbiz.de/10011580766

Learning forecast-efficient yield curve factor decompositions with neural networks

Kauffmann, Piero C.; Takada, Hellinton H.; Terada, Ana T.; … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-15

Most factor-based forecasting models for the term structure of interest rates depend on a fixed number of factor loading functions that have to be specified in advance. In this study, we relax this assumption by building a yield curve forecasting model that learns new factor decompositions...

Persistent link: https://www.econbiz.de/10013355189

Die Entwicklung der Zinsstrukturkurve : Eine Analyse homogener affiner Mehrfaktormodelle auf Basis des Kalman-Filters

Mayer, Christoph - 2009

Arbitragefreie Zinsstrukturkurvenmodelle -- Projektion der Zinsstruktur und Parameterschätzung -- Empirische … Zinstitelbestands die zentrale Problemstellung. Christoph Mayer analysiert traditionelle einfaktorielle Modelle der Zinsstruktur ebenso …