Forecasting US bond yields at weekly frequency
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More about this item
Keywordsconditional heteroskedasticity; forecasting; interest rates; nonlinear cointegration;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-27 (All new papers)
- NEP-ECM-2006-05-27 (Econometrics)
- NEP-ETS-2006-05-27 (Econometric Time Series)
- NEP-FMK-2006-05-27 (Financial Markets)
- NEP-FOR-2006-05-27 (Forecasting)
- NEP-MAC-2006-05-27 (Macroeconomics)
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