Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts? (Q4687353)
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scientific article; zbMATH DE number 6951867
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| English | Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts? |
scientific article; zbMATH DE number 6951867 |
Statements
Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts? (English)
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11 October 2018
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interest rates
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latent factors model
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state-space model
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Kalman filter
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0.8740560412406921
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0.8317192792892456
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0.8109044432640076
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0.8083626627922058
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