Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach
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- Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
- Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis.
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More about this item
Keywords
forecast combinations; term structure of interest rates;JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2007-03-24 (All new papers)
- NEP-ECM-2007-03-24 (Econometrics)
- NEP-ETS-2007-03-24 (Econometric Time Series)
- NEP-FMK-2007-03-24 (Financial Markets)
- NEP-FOR-2007-03-24 (Forecasting)
- NEP-MAC-2007-03-24 (Macroeconomics)
- NEP-MON-2007-03-24 (Monetary Economics)
- NEP-PBE-2007-03-24 (Public Economics)
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