Forecasts of US short-term interest rates: a flexible forecast combination approach
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Publication:302204
DOI10.1016/j.jeconom.2008.12.004zbMath1429.62469OpenAlexW3126099948MaRDI QIDQ302204
Massimo Guidolin, Allan G. Timmermann
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.004
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Cites Work
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- Persistence in forecasting performance and conditional combination strategies
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- The macroeconomy and the yield curve: a dynamic latent factor approach
- Handbook of economic forecasting. Volume 1
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Short rate nonlinearities and regime switches.
- Testing the term structure of interest rates using a stationary vector autoregression with regime switching
- Tests of equal forecast accuracy and encompassing for nested models
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