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

DOI10.1016/j.jeconom.2008.12.004zbMath1429.62469MaRDI QIDQ302204

Massimo Guidolin, Allan G. 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

zbMATH Keywords

forecast combinations; expectations hypothesis; regime switches; short term interest rates

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Adaptive predictions of the Euro/Złoty currency exchange rate using state space wavelet networks and forecast combinations, Adaptive dynamic Nelson-Siegel term structure model with applications, Value-at-risk via mixture distributions reconsidered, The effects of conventional and unconventional monetary policy on forecasting the yield curve, Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models, Time-varying combinations of predictive densities using nonlinear filtering, Infinite Markov pooling of predictive distributions, Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights

Cites Work

• Unnamed Item
• Persistence in forecasting performance and conditional combination strategies
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Handbook of economic forecasting. Volume 1
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Short rate nonlinearities and regime switches.
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching
• Tests of equal forecast accuracy and encompassing for nested models