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. …

-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of … Kriging method based on the anisotropic variogram. Furthermore, a comparison with other recent methods for forecasting yield … competitive with the other forecasting models considered. …

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 … and useful for forecasting. -- Bayesian methods ; Forecasting ; Term structure …

VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding …

multi-step out-of-sample forecasting competition. It turns out that forecasts are improved substantially when allowing for …

This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and … variables. Our forecasting model significantly improves the predicting accuracy of extant models in the literature, particularly …

forecasting ability of the spread. Klassifikation: …