Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?
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Publication:4687353
DOI10.1002/for.2266zbMath1397.62439OpenAlexW1949000606MaRDI QIDQ4687353
Yoshihiko Tsukuda, Yasumasa Matsuda, Wali Ullah
Publication date: 11 October 2018
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.2266
Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Term structure forecasting in affine framework with time-varying volatility ⋮ Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy? ⋮ Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
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