Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

DOI10.1016/j.jeconom.2008.06.002zbMath1418.62521OpenAlexW2095928159MaRDI QIDQ295690

Emanuel Moench

Publication date: 13 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.06.002

zbMATH Keywords

forecastingaffine term structure modelsyield curvedynamic factor modelsfactor-augmented VAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites Work

• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
• What does the yield curve tell us about GDP growth?
• A joint econometric model of macroeconomic and term-structure dynamics
• The Stationary Bootstrap
• Forecasting Using Principal Components From a Large Number of Predictors
• A Reality Check for Data Snooping
• Determining the Number of Factors in Approximate Factor Models
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