Tabak, B.M.; Sollaci, A.B.; Gomes, G.M.; Cajueiro, D.O. - In: Economics Letters 117 (2012) 2, pp. 513-516
This paper compares the forecast precision of the Functional Signal plus Noise (FSN), the Dynamic Nelson–Siegel (DL), and a random walk model. The empirical results suggest that both outperform the random walk at short horizons (one-month) and that the FSN model outperforms the DL at the one-...
