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Forecasting interest rates using geostatistical techniques
Arbia, Giuseppe; Di Marcantonio, Michele - In: Econometrics : open access journal 3 (2015) 4, pp. 733-760
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...
Persistent link: https://www.econbiz.de/10011411696
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Marktbasierte Zinsprognosen mit Regime-Switching-Modellen
Ahrens, Ralf - 2000
Untersuchung zeigt der Autor Möglichkeiten der Prognose von Geld- und Kapitalmarktzinssätzen auf. Im Rahmen der dem Konzept der … Markterwartungen, die sich in Zinssätzen und in der Zinsstruktur widerspiegeln, unter Anwendung ökonometrischer Verfahren extrahiert … denen Zinssätze und Zinsstruktur als sogenannte Regime-Switching-Prozesse modelliert werden. -- Im ersten Hauptteil der …
Persistent link: https://www.econbiz.de/10011402042
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The European financial crisis : a challenge for ten-year German government bond yield forecasts?
Kunze, Frederik - In: International journal of bonds and derivatives 1 (2014) 2, pp. 171-185
Persistent link: https://www.econbiz.de/10011312441
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A regime-switching Nelson-Siegel term structure model and interest rate forecasts
Xiang, Ju; Zhu, Xiaoneng - In: Journal of financial econometrics : official journal of … 11 (2013) 3, pp. 522-555
Persistent link: https://www.econbiz.de/10009786516
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A note on the (continued) ability of the Yield Curve to forecast economic downturns in South Africa
Botha, Ferdi; Keeton, Gavin - In: The South African journal of economics 82 (2014) 3, pp. 468-473
Persistent link: https://www.econbiz.de/10010502155
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Interest rate forecasts, state price densities and risk premium from Euribor options
Ivanova, Vesela; Puigvert Gutiérrez, Josep Maria - In: Journal of banking & finance 48 (2014), pp. 210-223
Persistent link: https://www.econbiz.de/10010508142
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Forecasting interest rates with a structural model
Roley, V. Vance - 1981
Persistent link: https://www.econbiz.de/10002698812
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Marktbasierte Zinsprognosen mit Regime-Switching-Modellen
Ahrens, Ralf - 2000
Persistent link: https://www.econbiz.de/10001480762
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Forecasting Interest Rates with Futures Contracts Using Macroeconomic and Financial Variables
Coffinet, Jerome - 2010
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...
Persistent link: https://www.econbiz.de/10013137943
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Interest Rate Assumptions and Predictive Accuracy of Central Bank Forecasts
Schultefrankenfeld, Guido - 2017
The interest rate assumptions for macroeconomic forecasts differ among central banks. Common approaches are given by the assumptions that interest rates remain constant over the forecast horizon, follow a path as expected by market participants or follow a path as expected by the central bank...
Persistent link: https://www.econbiz.de/10012958229