Chua, Chew Lian; Suardi, Sandy; Tsiaplias, Sarantis - Melbourne Institute of Applied Economic and Social … - 2011
This paper examines the forecasting qualities of Bayesian Model Averaging (BMA) over a set of single factor models of short-term interest rates. Using weekly and high frequency data for the one-month Eurodollar rate, BMA produces predictive likelihoods that are considerably better than the...