Are levels effects important in out-of-sample performance of short rate models?
AbstractThis paper derives short-term interest rate volatility forecasts from various interest rate models. While models that specify both GARCH and levels effects are superior in their forecasts accuracy, they systematically under predict interest rate volatility more frequently than simple short rate models.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 99 (2008)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/ecolet
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Open Access publications from Maastricht University
urn:nbn:nl:ui:27-5919, Maastricht University.
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