Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model

DOI10.1002/FOR.1258zbMath1397.62410OpenAlexW3023768403MaRDI QIDQ4687322

Dick van Dijk, Patrick J. F. Groenen, Peter Exterkate, Christiaan Heij

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1258

zbMATH Keywords

variable selectionforecast accuracyfactor extraction

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

Model selection in kernel ridge regression ⋮ Penalized averaging of parametric and non-parametric quantile forecasts ⋮ Empirical analysis and forecasting of multiple yield curves ⋮ A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US

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