factor, and artificial neural networks on all factors that explain the yield curve. The out-of-sample performance of the … three factor model developed by Nelson & Siegel proves to be the best choice for out-of-sample forecasting. Finally, the …

, there are only one or two non-spurious factors. The forecasts using non-spurious factors significantly improve out-of-sample …

out-of-sample performance of our considered portfolio strategies with simulated and empirical datasets, and we find that …

out-of-sample forecasts using an adaption of the model of Hatton (1995) to time series cross-sectional data about post …