Predicting the yield curve using forecast combinations
From MaRDI portal
Publication:1659103
DOI10.1016/j.csda.2014.05.008zbMath1466.62038OpenAlexW2158976469MaRDI QIDQ1659103
João F. Caldeira, Guilherme V. Moura, André A. P. Santos
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2014.05.008
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (2)
Riemann and Weierstrass walks revisited ⋮ Yield curve forecast combinations based on bond portfolio performance
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Forecasting the term structure of government bond yields
- Selection of estimation window in the presence of breaks
- Persistence in forecasting performance and conditional combination strategies
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- The macroeconomy and the yield curve: a dynamic latent factor approach
- A joint econometric model of macroeconomic and term-structure dynamics
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Handbook of economic forecasting. Volume 1
- Asymptotics for out of sample tests of Granger causality
- Optimal prediction pools
- Variable selection, estimation and inference for multi-period forecasting problems
- Robust out-of-sample inference
- A Theory of the Term Structure of Interest Rates
- Pooling of forecasts
- An Intertemporal General Equilibrium Model of Asset Prices
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?
- Asymptotic Inference about Predictive Ability
- Tests of Conditional Predictive Ability
This page was built for publication: Predicting the yield curve using forecast combinations
