Term structure forecasting of government bond yields with latent and macroeconomic factors : do macroeconomic factors imply better out-of-sample forecasts?
Wali Ullah, Yoshihiko Tsukuda and Yasumasa Matsuda
| Year of publication: |
2013
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|---|---|
| Authors: | Ullah, Wali ; Tsukuda, Yoshihiko ; Matsuda, Yasumasa |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 32.2013, 8, p. 702-723
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| Subject: | term structure of interest rates | macroeconomic fundamentals | latent factors model | state-space model | Kalman filter | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Theorie | Theory | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Öffentliche Anleihe | Public bond |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010344463