Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging
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- Francesco Audrino & Marcelo Cunha Medeiros, 2010. "Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging," Textos para discussão 570, Department of Economics PUC-Rio (Brazil).
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Erik Hillebrand & Tae-Hwy Lee & Marcelo Cunha Medeiros, 2012.
"Let´s do it again: bagging equity premium predictors,"
Textos para discussão
604, Department of Economics PUC-Rio (Brazil).
- Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros, 2012. "Let's Do It Again: Bagging Equity Premium Predictors," CREATES Research Papers 2012-41, Department of Economics and Business Economics, Aarhus University.
- Francesco Audrino, 2012. "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 315-335, March.
- Tae-Hwy Lee & Eric Hillebrand & Marcelo Medeiros, 2014. "Bagging Constrained Equity Premium Predictors," Working Papers 201421, University of California at Riverside, Department of Economics, revised Feb 2013.
- Huiyu Huang & Tae-Hwy Lee, 2013.
"Forecasting Value-at-Risk Using High-Frequency Information,"
MDPI, Open Access Journal, vol. 1(1), pages 1-14, June.
- Tae-Hwy Lee & Huiyu Huang, 2014. "Forecasting Value-at-Risk Using High Frequency Information," Working Papers 201409, University of California at Riverside, Department of Economics.
- Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
- repec:eee:reveco:v:49:y:2017:i:c:p:276-291 is not listed on IDEAS
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