Favero, Carlo A.; Niu, Linlin; Sala, Luca - 2013
This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … factors, on the forecasting performance. Using US yield curve data, we find that both no-arbitrage and large info help in … forecasting but no model uniformly dominates the other. No-arbitrage models are more useful at shorter horizon for shorter …