Forecasts of US short-term interest rates: a flexible forecast combination approach
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Cites work
- scientific article; zbMATH DE number 1168350 (Why is no real title available?)
- Handbook of economic forecasting. Volume 1
- Persistence in forecasting performance and conditional combination strategies
- 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
- The macroeconomy and the yield curve: a dynamic latent factor approach
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
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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