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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

Mind the (convergence) gap: bond predictability strikes back!

Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - 2019 - This version: August 29, 2019

We show that the difference between the natural rate of interest and the current level of monetary policy stance, which we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting regressions of bond excess returns significantly raises...

Persistent link: https://www.econbiz.de/10012134247

The social value of information : a test of a beauty and non-beauty contest

Lustenberger, Thomas; Rossi, Enzo - 2017

Persistent link: https://www.econbiz.de/10011794335

The social value of information : a test of a beauty and non-beauty contest

Lustenberger, Thomas; Rossi, Enzo - 2018

We develop and apply a procedure to test the welfare implications of a beauty and non-beauty contest based on survey forecasts of interest rates and yields in a large country sample over an extended period of time. In most countries, interest rate forecasts are unbiased and consistent with both...

Persistent link: https://www.econbiz.de/10011790681

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 …