Hillebrand, Eric; Huang, Huiyu; Lee, Tae-Hwy; Li, Canlin - School of Economics and Management, University of Aarhus - 2011
Following Diebold and Li (2006), we use the Nelson-Siegel (NS, 1987) yield curve factors. However the NS yield curve factors are not supervised for a specifi?c forecast target in the sense that the same factors are used for forecasting different variables, e.g., output growth or infl?ation. We...
