Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts
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- Frank A. G. den Butter & Pieter W. Jansen, 2013. "Beating the random walk: a performance assessment of long-term interest rate forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 749-765, May.
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- 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.
More about this item
Keywordsinterest rate forecasting; expert knowledge; combining forecasts; optimizing forecast errors;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- 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-2008-12-14 (All new papers)
- NEP-CBA-2008-12-14 (Central Banking)
- NEP-ETS-2008-12-14 (Econometric Time Series)
- NEP-FOR-2008-12-14 (Forecasting)
- NEP-MAC-2008-12-14 (Macroeconomics)
- NEP-ORE-2008-12-14 (Operations Research)
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