. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors …-ante forecasting ; EURIBOR swap rates ; term structure ; directional accuracy ; big hit ability …

forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither … specifications. -- Model selection ; principal components ; factor analysis ; exante forecasting ; EURIBOR swap term structure …

In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets …

. The proposed forecasting strategy produces the lowest errors across all times to maturity. …

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government … method, in forecasting accuracy. Although we find there is no significant difference in forecasting performance between BMA … further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is …

forecasting performance, the proposed factor model of the yield curve exhibits substantial incremental predictive value. This …

In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets …

. The proposed forecasting strategy produces the lowest errors across all times to maturity …

stateof-the-art approximation methods are either too time consuming, or not precise enough for estimation and forecasting …