Search Results - subject:"yield curve forecasting"

Learning forecast-efficient yield curve factor decompositions with neural networks

Kauffmann, Piero C.; Takada, Hellinton H.; Terada, Ana T.; … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-15

loading functions that have to be specified in advance. In this study, we relax this assumption by building a yield curve … forecasting model that learns new factor decompositions directly from data for an arbitrary number of factors, combining a …

Persistent link: https://www.econbiz.de/10013355189

Better the devil you know : improved forecasts from imperfect models

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: October 2021

Persistent link: https://www.econbiz.de/10012704988

Forecasting the yield curve of government bonds: a dynamic factor approach

Ben Omrane, Walid; He, Chao; He, Zhongzhi Lawrence; … - In: Managerial Finance 43 (2017) 7, pp. 774-793

-horizon yield curve forecasting performance. Research limitations/implications The authors find that the dynamic factor model and …

Persistent link: https://www.econbiz.de/10014941899

Forecasting the yield curve of government bonds : a dynamic factor approach

Ben Omrane, Walid; He, Chao; He, Zhongzhi Lawrence; … - In: Managerial finance 43 (2017) 7, pp. 774-793

Persistent link: https://www.econbiz.de/10011770880

International yield curve prediction with common functional principal component analysis

Zhang, Jiejie; Chen, Ying; Klotz, Stefan; Lim, Kian-Guan - In: Robustness in econometrics, (pp. 287-304). 2017

Persistent link: https://www.econbiz.de/10011801353

Forecasting the yield curve with linear factor models

Matsumura, Marco; Moreira, Ajax; Vicente, José - In: International Review of Financial Analysis 20 (2011) 5, pp. 237-243

In this work we compare the interest rate forecasting performance of a broad class of linear models. The models are estimated through a MCMC procedure with data from the US and Brazilian markets. We show that a simple parametric specification has the best predictive power, but it does not...

Persistent link: https://www.econbiz.de/10010577779

Forecasting the yield curve with linear factor models

Matsumura, Marco Shinobu; Moreira, Ajax; Vicente, José … - In: International review of financial analysis 20 (2011) 5, pp. 237-243

Persistent link: https://www.econbiz.de/10009492131