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Smooth regimes, macroeconomic variables, and bagging for the short-term interest rate process

Audrino, Francesco; Medeiros, Marcelo C. - 2008

Persistent link: https://www.econbiz.de/10003773443

Nonlinear tools for analyzing and forecasting financial time series : an application to US interest rates

Wesner, Nicolas - In: International finance and monetary policy, (pp. 157-186). 2006

Persistent link: https://www.econbiz.de/10003459477

Nonlinear tools for analyzing and rorecasting financial time series : an application to US interest rates

Wesner, Nicolas - In: Progress in economics research 14 (2008), pp. 111-140

Persistent link: https://www.econbiz.de/10008858867

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …

Persistent link: https://www.econbiz.de/10009735355

Modeling the US short-term interest rate by mixture autoregressive processes

Lanne, Markku; Saikkonen, Pentti - 2000

A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...

Persistent link: https://www.econbiz.de/10009612047