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

DOI10.1016/J.JECONOM.2008.06.002MaRDI QIDQ295690zbMATH OpenOpenAlexFDO

Authors 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

forecastingyield curveaffine term structure modelsdynamic factor modelsfactor-augmented VAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• scientific article; zbMATH DE number 774870 (Why is no real title available?)
• A Reality Check for Data Snooping
• A joint econometric model of macroeconomic and term-structure dynamics
• Determining the Number of Factors in Approximate Factor Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Forecasting the term structure of government bond yields
• The Stationary Bootstrap
• The macroeconomy and the yield curve: a dynamic latent factor approach
• What does the yield curve tell us about GDP growth?

Cited in

(31)

• Adaptive dynamic Nelson-Siegel term structure model with applications
• Estimating VAR models for the term structure of interest rates
• A joint econometric model of macroeconomic and term-structure dynamics
• Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
• Empirical analysis and forecasting of multiple yield curves
• Evolving macroeconomic perceptions and the term structure of interest rates
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
• Dynamic regression models for time-ordered functional data
• Intelligible factors for the yield curve
• How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
• Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model
• No-arbitrage macroeconomic determinants of the yield curve
• Forecasts of US short-term interest rates: a flexible forecast combination approach
• Managing urban and agricultural water demands in Northern China: the case of Luancheng county, Hebei province
• Term structure forecasting: no-arbitrage restrictions versus large information set
• Affine term structure model with macroeconomic factors: do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?
• Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
• A Bayesian approach to term structure modeling using heavy-tailed distributions
• Fundamental bubbles in equity markets
• Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts?
• Forecasting the term structure when short-term rates are near zero
• A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
• Functional dynamic factor models with application to yield curve forecasting
• Prediction bias correction for dynamic term structure models
• An arbitrage‐free generalized Nelson–Siegel term structure model
• The macroeconomy and the yield curve: a dynamic latent factor approach
• What does the yield curve tell us about GDP growth?
• Predicting the yield curve using forecast combinations
• Macroeconomic impacts on commodity prices: China vs. the United States
• The affine arbitrage-free class of Nelson-Siegel term structure models

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