Efficient Yield Curve Estimation and Forecasting in Brazil
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References listed on IDEAS
- Peter Hordahl & Oreste Tristani & David Vestin, 2003. "A joint econometric model of macroeconomic and term structure," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
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- Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Predicting the yield curve using forecast combinations," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 79-98.
- repec:sbe:breart:v:30:y:2010:i:1:a:3502 is not listed on IDEAS
More about this item
KeywordsTerm Structure of the Interest Rate; Yield Curve; State-Space Model; Kalman Filter.;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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