Zhou, Rongxi; Wang, Xianliang; Tong, Guanqun - In: Applied Economics Letters 20 (2013) 15, pp. 1363-1367
This article establishes an original methodology to forecast macroeconomy based on the term structure of credit spreads. It combines the traditional Svensson model with genetic algorithms to obtain the interest rate term structures of government bonds and corporate bonds and calculates credit...