Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen.
More about this item
KeywordsShort-term interest rate; Regression tree; Smooth transition; Conditional variance; Bagging; Asymptotic theory;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-13 (All new papers)
- NEP-CBA-2008-09-13 (Central Banking)
- NEP-ECM-2008-09-13 (Econometrics)
- NEP-MAC-2008-09-13 (Macroeconomics)
- NEP-MON-2008-09-13 (Monetary Economics)
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