Forecasting for the Bank's Asset-Liability Management
The 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
References listed on IDEAS
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"Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information,"
2512, University Library of Munich, Germany, revised 03 Mar 2007.
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