Term structure forecasting using macro factors and forecast combination
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- Michiel De Pooter & Francesco Ravazzolo & Dick Van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," International Finance Discussion Papers 993, Board of Governors of the Federal Reserve System (U.S.).
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- Rui Chen & Jiri Svec & Maurice Peat, 2016. "Forecasting the Government Bond Term Structure in Australia," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 99-111, June.
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- Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
- 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.
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More about this item
Keywords
Term structure of interest rates; Nelson-Siegel model; Affine term structure model; macro factors; forecast combination; Model Confidence Set;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- 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
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2010-03-13 (Central Banking)
- NEP-FOR-2010-03-13 (Forecasting)
- NEP-MON-2010-03-13 (Monetary Economics)
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