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Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?
Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 535-560
Persistent link: https://www.econbiz.de/10010259467
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The expected real yield and inflation components of the nominal yield curve
Lange, Ronald H. - In: The North American journal of economics and finance : a … 39 (2017), pp. 1-18
Persistent link: https://www.econbiz.de/10011878571
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Long-horizon yield curve projections : comparison of semi-parametric and parametric approaches
Nyholm, Ken; Rebonato, Riccardo - In: Applied financial economics 18 (2008) 18/21, pp. 1597-1611
Persistent link: https://www.econbiz.de/10003800185
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Can credit spreads help predict a yield curve?
Abdymomunov, Azamat; Kang, Kyu Ho; Kim, Ki Jeong - In: Journal of international money and finance 64 (2016), pp. 39-61
Persistent link: https://www.econbiz.de/10011668377
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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Yield curve forecasting with the Burg model
Rostan, Pierre; Belhachemi, Rachid; Racicot, François-Éric - In: Journal of forecasting 36 (2017) 1, pp. 91-99
Persistent link: https://www.econbiz.de/10011729073
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Liquidity and yield curve estimation
Tsai, Shih-chuan - In: Emerging markets finance & trade : a journal of the … 48 (2012) 5, pp. 4-24
Persistent link: https://www.econbiz.de/10009761583
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2020
Persistent link: https://www.econbiz.de/10012254015
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012249767
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Yield spread selection in predicting recession probabilities
Choi, Jaehyuk; Ge, Desheng; Kang, Kyu Ho; Sohn, Sungbin - In: Journal of forecasting 42 (2023) 7, pp. 1772-1785
Persistent link: https://www.econbiz.de/10014432757