forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

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. …

returns we observe that the slope and curvature yield factors contain the same explanatory power as the return-forecasting …

. 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. …

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 …

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 …

-of-sample forecasting of using alternative estimators of the DFM under various sources of potential misspecification. In particular, we …, but it matters when the objective is out-of-sample forecasting. …