This paper establishes a low cost inferential model that allows reliable time series forecasts. The model provides a naive unique computationally straightforward approach based on widely-used additive models. It refers to the decomposition of every time series value in “random” components,...

This paper compares six term structure estimation methods empirically in terms of zero and forward rate curves as well as ex ante price and yield prediction accuracy. Specifically, we use daily government bond quotations to generate true out-of-sample prediction errors based on the model's...