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Forecasting US yield curve using the dynamic Nelson-Siegel model with random level shift parameters

Luo, Deqing; Pang, Tao; Xu, Jiawen - In: Economic modelling 94 (2021), pp. 340-350

Persistent link: https://www.econbiz.de/10012695028

Term structure forecasting using macro factors and forecast combination

Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2010

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Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

Koopman, Siem Jan; Wel, Michel van der - In: International journal of forecasting 29 (2013) 4, pp. 676-694

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High-frequency credit spread information and macroeconomic forecast revision

Deschamps, Bruno; Ioannidis, Christos; Ka, Kook - In: International journal of forecasting 36 (2020) 2, pp. 358-372

Persistent link: https://www.econbiz.de/10012414805

The term structure of volatility predictability

Li, Xingyi; Zakamulin, Valeriy - In: International journal of forecasting 36 (2020) 2, pp. 723-737

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Forecasting the term structure of interest rates with dynamic constrained smoothing B-splines

Mineo, Eduardo; Alencar, Airlane Pereira; Moura, Marcelo; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/65, pp. 1-14

The Nelson&Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for...

Persistent link: https://www.econbiz.de/10012302519

Change point tests in functional factor models with application to Yield curves

Bardsley, Patrick; Horváth, Lajos; Kokoszka, Piotr; … - In: The econometrics journal 20 (2017) 1, pp. 86-117

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Forecasting economic activity from yield curve factors

Argyropoulos, Efthymios; Tzavalis, Elias - In: The North American journal of economics and finance : a … 36 (2016), pp. 293-311

Persistent link: https://www.econbiz.de/10011672685

A dynamic factor model of the yield curve components as a predictor of the economy

Chauvet, Marcelle; Senyuz, Zeynep - In: International journal of forecasting 32 (2016) 2, pp. 324-343

Persistent link: https://www.econbiz.de/10011596830

Conditional term structure of inflation forecast uncertainty : the copula approach

Charemza, Wojciech; Díaz, Carlos; Makarova, Svetlana D. - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 5-18

Persistent link: https://www.econbiz.de/10012021948