Forecasts of US short-term interest rates: a flexible forecast combination approach

DOI10.1016/J.JECONOM.2008.12.004zbMATH Open1429.62469OpenAlexW3126099948MaRDI QIDQ302204FDOQ302204

Authors: Massimo Guidolin, Allan Timmermann 

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.004

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zbMATH Keywords

forecast combinationsexpectations hypothesisregime switchesshort term interest rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The macroeconomy and the yield curve: a dynamic latent factor approach
• Persistence in forecasting performance and conditional combination strategies
• Handbook of economic forecasting. Volume 1
• Title not available (Why is that?)
• Tests of equal forecast accuracy and encompassing for nested models
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Short rate nonlinearities and regime switches.
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching

Cited In (12)

• Predicting the yield curve using forecast combinations
• Forecasting the 10-year US Treasury rate
• Time-varying combinations of predictive densities using nonlinear filtering
• Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
• Adaptive predictions of the Euro/Złoty currency exchange rate using state space wavelet networks and forecast combinations
• Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
• Adaptive dynamic Nelson-Siegel term structure model with applications
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• Combination forecasting for directional accuracy: An application to survey interest rate forecasts
• Infinite Markov pooling of predictive distributions
• Value-at-risk via mixture distributions reconsidered
• Forward interest rates as predictors of future US spot rates before and after the 2008 financial crisis

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