Forecasting for the Bank's Asset-Liability Management
AbstractThe paper aims at finding the most optimal individual, collective, and combined yield curve forecasting models. It is shown that incorporating macroeconomic information improves the model's goodness-of-fit characteristics. It is also proved that combined forecasts perform better on average when are based upon weights for individual ones
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Bibliographic InfoArticle provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.
Volume (Year): 12 (2008)
Issue (Month): 4 ()
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Web page: http://appliedeconometrics.cemi.rssi.ru/
asset-liability management; combined forecast; MosPrime; Russia; yield curve;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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