. The estimation technique is locally weighted regression (LWR), a nearest-neighbor method, and the forecasting criteria are … the root mean square error (RMSE) and mean absolute deviation (MAD). We compare the forecasting performance of the … nonparametric fit results in significant improvements in forecasting accuracy as compared to benchmark linear models both in …

combining forecasts from different models helps improve the out-of-sample forecasting performance for US short-term rates …. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons. …

improve the directional accuracy of interest rate forecasting are constructed. The first combination forecast takes a weighted … accuracy track record, the arithmetic mean of these forecasters is used. The study finds that neither combination forecasting …

besides the United States. In addition, the yield spread forecasting model generally outperforms two alternative forecasting …

This paper evaluates several artificial intelligence and classical algorithms on their ability of forecasting the …