Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?
Wali Ullah
| Year of publication: |
July 2016
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| Authors: | Ullah, Wali |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 35.2016, 4, p. 329-346
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| Subject: | term structure of interest rates | macroeconomic fundamentals | affine latent factors model | state-space model | Kalman filter | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | Faktorenanalyse | Factor analysis | Makroökonomik | Macroeconomics | Schätzung | Estimation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Wirkungsanalyse | Impact assessment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2378 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011580766