Forecasting the term structure of interest rates using integrated nested Laplace approximations

DOI10.1002/FOR.2288MaRDI QIDQ4687502zbMATH OpenOpenAlexFDO

Authors Márcio Poletti Laurini, Luiz Koodi Hotta

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.2288

zbMATH Keywords

accurate out-of-sample forecastsanalytical approximationBayesian inferencelatent factorsterm structure

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(5)

• Estimating a fuzzy term structure of interest rates using fuzzy regression techniques.
• An Interest-rate Model Analysis Based on Data Augmentation Bayesian Forecasting
• Bayesian inference for long memory term structure models
• Forecasting the yield curve: the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macro-economic factors
• Estimating the term structure of interest rates using penalized splines

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