Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach (Q295690): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M20
@@ Property / Mathematics Subject Classification ID: 62M20 / rank @@
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@@ Property / zbMATH DE Number @@
+6592941
@@ Property / zbMATH DE Number: 6592941 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+yield curve
@@ Property / zbMATH Keywords: yield curve / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+factor-augmented VAR
@@ Property / zbMATH Keywords: factor-augmented VAR / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+affine term structure models
@@ Property / zbMATH Keywords: affine term structure models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+dynamic factor models
@@ Property / zbMATH Keywords: dynamic factor models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+forecasting
@@ Property / zbMATH Keywords: forecasting / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2008.06.002
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@@ Property / OpenAlex ID @@
+W2095928159
@@ Property / OpenAlex ID: W2095928159 / rank @@
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@@ Property / cites work @@
+What does the yield curve tell us about GDP growth?
+Normal rank
@@ Property / cites work @@
+Determining the Number of Factors in Approximate Factor Models
+Normal rank
@@ Property / cites work @@
+Q4802629
@@ Property / cites work: Q4802629 / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting the term structure of government bond yields
+Normal rank
@@ Property / cites work @@
+The macroeconomy and the yield curve: a dynamic latent factor approach
+Normal rank
@@ Property / cites work @@
+A joint econometric model of macroeconomic and term-structure dynamics
+Normal rank
@@ Property / cites work @@
+Q4839388
@@ Property / cites work: Q4839388 / rank @@
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting Using Principal Components From a Large Number of Predictors
+Normal rank
@@ Property / cites work @@
+A Reality Check for Data Snooping
@@ Property / cites work: A Reality Check for Data Snooping / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:295690