Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?

DOI10.1002/for.2266zbMath1397.62439OpenAlexW1949000606MaRDI QIDQ4687353

Yoshihiko Tsukuda, Yasumasa Matsuda, Wali Ullah

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.2266

zbMATH Keywords

Kalman filterinterest ratesstate-space modellatent factors model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Term structure forecasting in affine framework with time-varying volatility ⋮ Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy? ⋮ Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?

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