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Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models

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  • Yongmiao Hong
  • Haitao Li
  • Feng Zhao
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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 22 (2004)
    Issue (Month): (October)
    Pages: 457-473

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    Handle: RePEc:bes:jnlbes:v:22:y:2004:p:457-473

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    Cited by:
    1. Geweke, John & Amisano, Gianni, 2008. "Comparing and evaluating Bayesian predictive distributions of assets returns," Working Paper Series 0969, European Central Bank.
    2. Bali, Turan G. & Wu, Liuren, 2006. "A comprehensive analysis of the short-term interest-rate dynamics," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1269-1290, April.
    3. Manzan, Sebastiano & Zerom, Dawit, 2008. "A bootstrap-based non-parametric forecast density," International Journal of Forecasting, Elsevier, vol. 24(3), pages 535-550.
    4. Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006. "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers 200614, Rutgers University, Department of Economics.
    5. Manzan, S. & Zerom, D., 2005. "A Multi-Step Forecast Density," CeNDEF Working Papers 05-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    6. repec:wyi:wpaper:001998 is not listed on IDEAS
    7. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute.
    8. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
    9. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print peer-00834423, HAL.
    10. repec:wyi:journl:002118 is not listed on IDEAS
    11. Al-Zoubi, Haitham A., 2009. "Short-term spot rate models with nonparametric deterministic drift," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 731-747, August.
    12. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales.
    13. Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
    14. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
    15. Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1047-1061, May.
    16. M. Rypdal & O. L{\o}vsletten, 2011. "Multifractal modeling of short-term interest rates," Papers 1111.5265, arXiv.org.
    17. Bayraci, Selcuk & UNAL, GAZANFER, 2010. "Continuous time modeling of interest rates: An empirical study on the Turkish short rate," MPRA Paper 28091, University Library of Munich, Germany.

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