some Asian factors exhibit long memory that is in line with existing empirical findings in financial volatility. However …, their local-factor SVF model is not powerful enough in forecasting Asian volatility. This has led us to propose an extension …

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …

information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting … at medium/long forecasting horizon; b. financial factors are useful in short run forecasting; c. no-arbitrage models are …This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework …

sample (bayesian shrinkage), the forecasting performance of a VAR can be improved by adding macroeconomic variables and …

This paper evaluates the performance of 11 vector autoregressive models in forecasting 15 macroeconomic variables for …

of empirical evidence against the ET. Yield spreads do provide important information for forecasting the yield curve …

forecasting. The empirical results serve as a preliminary guide to understanding the behaviour of BMA under double asymptotics, i …

The primary objective of this paper is to propose two nonlinear extensions for macroeconomic forecasting using large … allows the factors to have a nonlinear relationship to the input variables. Second, we propose artificial neural networks as … an alternative to the factor augmented linear forecasting equation. These two extensions allow us to determine whether …

, can be used to obtain a now-cast of the structural model. We show empirical results for the quarterly growth rate of GDP …

In this study we investigate the yield curve forecasting performance of Dynamic Nelson–Siegel Model (DNS), affine term … variables in forecasting the yield curve. We have reached numbers of important results: 1—Macroeconomic variables are very … useful in forecasting the yield curve. 2—The forecasting performances of the models depend on the period under review. 3 …