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

DOI10.1016/j.jeconom.2008.06.002zbMath1418.62521MaRDI 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

forecasting; affine term structure models; yield curve; dynamic factor models; factor-augmented VAR

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

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Cites Work

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