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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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Examining the Nelson-Siegel Class of Term Structure Models : In-Sample Fit versus Out-of-Sample Forecasting Performance
De Pooter, Michiel - 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/10014049944
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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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Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
Koopman, Siem Jan; Wel, Michel van der - 2011
factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study we … the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion …
Persistent link: https://www.econbiz.de/10011386428
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Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model
Koopman, Siem Jan - 2014
factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study we … the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion …
Persistent link: https://www.econbiz.de/10013068300
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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