Term structure forecasting: no-arbitrage restrictions versus large information set
From MaRDI portal
Recommendations
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
- Forecasting the term structure of government bond yields
- Affine term structure model with macroeconomic factors: do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?
- Estimating VAR models for the term structure of interest rates
Cited in
(7)- Predicting the yield curve using forecast combinations
- A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Adaptive dynamic Nelson-Siegel term structure model with applications
- Forecasting the yield curve: the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macro-economic factors
- How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
- Estimating VAR models for the term structure of interest rates
This page was built for publication: Term structure forecasting: no-arbitrage restrictions versus large information set
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4687252)
