Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts? (Q4687353)
From MaRDI portal
scientific article; zbMATH DE number 6951867
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts? |
scientific article; zbMATH DE number 6951867 |
Statements
Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts? (English)
0 references
11 October 2018
0 references
interest rates
0 references
latent factors model
0 references
state-space model
0 references
Kalman filter
0 references
