Forecasting the Term Structure when Short‐Term Rates are Near Zero

DOI10.1002/FOR.2292zbMath1397.91584OpenAlexW1931488509MaRDI QIDQ4687513

James M. Steeley

Publication date: 12 October 2018

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

Full work available at URL: https://doi.org/10.1002/for.2292

zbMATH Keywords

bond marketautoregressive modelyield curveout-of-sample forecastsrandom walk modelzero lower bounddynamic Nelson-Siegel modelslope regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US

This page was built for publication: Forecasting the Term Structure when Short‐Term Rates are Near Zero