Geostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply...

This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series models, structural economic models, expert forecasts and combinations thereof. The predictive performance of these approaches is compared using out of sample forecast errors, where...

This paper aims to extend recent work on the term structure of interest rates by establishing, in the context of the medium term UK interbank market, forecasting models which make use of market spreads as error correction terms. These models are then used within a trading scenario to test the...

Long-term interest rates forecast refers to projected values of government bonds maturing in ten years. It is measured as a percentage. Forecast data are calculated by making an overall assessment of the economic climate in individual countries and the world economy as a whole, using a...

Short-term interest rates forecast refers to projected values of three-month money market rates. It is measured as a percentage. Forecast data are calculated by making an overall assessment of the economic climate in individual countries and the world economy as a whole, using a combination of...

This study evaluates the predictive content of the 3-month Euribor contracts futures. We initially show that there is a forecast error on these contracts, on average positive and increasing with the forecast horizon. Then, we propose a method for correcting futures rates thanks to macroeconomic...