Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work

DOI10.1002/FOR.2783zbMath1476.62226OpenAlexW3157202714MaRDI QIDQ5012738

Michele Bufalo, Giuseppe Orlando

Publication date: 25 November 2021

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

Full work available at URL: https://doi.org/10.1002/for.2783

zbMATH Keywords

ARIMACIR modelHull and White modelinterest rate forecastingcluster volatility and jumps fitting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) 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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