Forecasting interest rates: A Comparative assessment of some second generation non-linear model
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- Dilip Nachane & Jose Clavel, 2008. "Forecasting interest rates: a comparative assessment of some second-generation nonlinear models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(5), pages 493-514.
- Dilip M. Nachane & Jose G. Clavel, 2005. "Forecasting Interest Rates - A Comparative Assessment Of Some Second Generation Non-Linear Models," Finance Working Papers 22359, East Asian Bureau of Economic Research.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Vortelinos, Dimitrios I., 2017. "Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 824-839.
- Duan, Qihong & Wei, Ying & Chen, Zhiping, 2014. "Relationship between the benchmark interest rate and a macroeconomic indicator," Economic Modelling, Elsevier, vol. 38(C), pages 220-226.
More about this item
KeywordsInterest rates; wavelets; mixed spectra; non-linear ARMA; Kalman filter; GARCH; Forecast encompassing;
- 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 fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-11 (All new papers)
- NEP-ECM-2006-03-11 (Econometrics)
- NEP-ETS-2006-03-11 (Econometric Time Series)
- NEP-FMK-2006-03-11 (Financial Markets)
- NEP-FOR-2006-03-11 (Forecasting)
- NEP-MAC-2006-03-11 (Macroeconomics)
- NEP-RMG-2006-03-11 (Risk Management)
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