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Examining the Nelson-Siegel Class of Term Structure Models
Pooter, Michiel De - 2007
forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …
Persistent link: https://www.econbiz.de/10010325534
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
yield curve where the informational advantage exists and transmits the superior forecasting ability to all remaining yields … are widely adopted by financial and policy institutions for forecasting the term structure of interest rates. …
Persistent link: https://www.econbiz.de/10010190487
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Yield Curve Factors, Factor Volatilities, and the Predictability of Bond Excess Returns
Hautsch, Nikolaus; Ou, Yangguoyi - 2008
returns we observe that the slope and curvature yield factors contain the same explanatory power as the return-forecasting …
Persistent link: https://www.econbiz.de/10014219528
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Predicting the term structure of interest rates : incorporating parameter uncertainty, model uncertainty and macroeconomic information
Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2007 - This version: March 3, 2007
. Our results show that adding macroeconomic factors is very beneficial for improving the out-of-sample forecasting … substantial gains in forecasting performance, especially when applying Bayesian model averaging. …
Persistent link: https://www.econbiz.de/10011372519
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Dynamic factor models : does the specification matter?
Miranda, Karen; Poncela, Pilar; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 397-428
-of-sample forecasting of using alternative estimators of the DFM under various sources of potential misspecification. In particular, we …, but it matters when the objective is out-of-sample forecasting. …
Persistent link: https://www.econbiz.de/10013326908
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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
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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
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Below the zero lower bound : a shadow-rate term structure model for the euro area
Lemke, Wolfgang; Vladu, Andreea L. - 2016
We propose an arbitrage-free shadow-rate term structure model to analyze the euro-area yield curve from 1999 to mid-2015, when bond yields turned negative at various maturities. In the model the 'shadow rate' can reach any positive or negative level, while the actual one-month rate cannot fall...
Persistent link: https://www.econbiz.de/10011532627
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Below the Zero Lower Bound : A Shadow-Rate Term Structure Model for the Euro Area
Lemke, Wolfgang - 2016
We propose an arbitrage-free shadow-rate term structure model to analyze the euro-area yield curve from 1999 to mid-2015, when bond yields turned negative at various maturities. In the model the 'shadow rate' can reach any positive or negative level, while the actual one-month rate cannot fall...
Persistent link: https://www.econbiz.de/10012981894
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Below the Zero Lower Bound : A Shadow-Rate Term Structure Model for the Euro Area
Lemke, Wolfgang - 2017
We propose a shadow-rate term structure model for the euro area yield curve from 1999 to mid-2015, when bond yields had turned negative at various maturities. Yields in the model are constrained by a lower bound, but - as a special feature of our specification - the bound is allowed to change...
Persistent link: https://www.econbiz.de/10012963943