Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
From MaRDI portal
Publication:295690
DOI10.1016/j.jeconom.2008.06.002zbMath1418.62521MaRDI QIDQ295690
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
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
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Cites Work
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- What does the yield curve tell us about GDP growth?
- A joint econometric model of macroeconomic and term-structure dynamics
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