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Are levels effects important in out-of-sample performance of short rate models?

Suardi, Sandy - In: Economics letters 99 (2008) 1, pp. 181-184

Persistent link: https://www.econbiz.de/10003723300

Equity return and short-term interest rate volatility : level effects and asymmetric dynamics

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003448337

Predicting short-term interest rates : does Bayesian model averaging provide forecast improvement?

Chua, Chew Lian; Suardi, Sandy; Tsiaplias, Sarantis - 2011

Persistent link: https://www.econbiz.de/10008859049

Modelling and forecasting short-term interest rate volatility : a semiparametric approach

Hou, Ai Jun; Suardi, Sandy - In: Journal of empirical finance 18 (2011) 4, pp. 692-710

Persistent link: https://www.econbiz.de/10009306533

Predicting short-term interest rates using Bayesian model averaging : evidence from weekly and high frequency data

Chua, Chew Lian; Suardi, Sandy; Tsiaplias, Sarantis - In: International journal of forecasting 29 (2013) 3, pp. 442-455

Persistent link: https://www.econbiz.de/10009787036

Testing for asymmetry in interest rate volatility in the presence of a neglected level effect

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003145132

Equity return and short-term interest rate volatility : level effects and asymmetric dynamics

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003011852

Testing for a level effect in short-term interest rates

Henry, Ólan Thomas John (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002582053

Is there a unit root in East-Asian short-term interest rates?

Chua, Chew Lian; Suardi, Sandy - 2005

Persistent link: https://www.econbiz.de/10003117518

Predicting Short-Term Interest Rates : Does Bayesian Model Averaging Provide Forecast Improvement?

Chua, Chew Lian - 2011

This paper examines the forecasting qualities of Bayesian Model Averaging (BMA) over a set of single factor models of short-term interest rates. Using weekly and high frequency data for the one-month Eurodollar rate, BMA produces predictive likelihoods that are considerably better than the...

Persistent link: https://www.econbiz.de/10013128091