Add to ORKGThis paper studies the predictive ability of a variety of models in forecasting the yield curve for the Brazilian fixed income market. We compare affine term structure models with a variation of the Nelson-Siegel exponential framework developed by Diebold and Li [Diebold, F., & Li, C. (2006). Forecasting the Term Structure of Government Yields. Journal of Econometrics, 130, 337-364]. Empirical results suggest that forecasts made with the latter methodology are superior, and appear to be more accurate at long horizons than other different benchmark forecasts. These results are important for policy-makers, as well as for portfolio and risk managers. Further research could study the predictive ability of such models in other emerging markets
none1siI propose a strategy for forecasting the term structure of interest rates that may produce si...
none1siI propose a strategy for forecasting the term structure of interest rates that may produce si...
textSince arbitrage-free is a desirable theoretical feature in a healthy financial market, many effo...
This paper studies the predictive ability of a variety of models in forecasting the yield curve for ...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
Abstract: Despite powerful advances in yield curve modeling in the last twenty years, little attenti...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
Modeling the term structure of interest rate is very important to macroeconomists and financial mark...
AbstractWe assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Ne...
Abstract: Modeling the term structure of interest rate is very important to macroeconomists and fina...
Abstract: Modeling the term structure of interest rate is very important to macroeconomists and fina...
none1siI propose a strategy for forecasting the term structure of interest rates that may produce si...
In this paper we model and predict the term structure of US interest rates in a data-rich and unstab...
none1siI propose a strategy for forecasting the term structure of interest rates that may produce si...
none1siI propose a strategy for forecasting the term structure of interest rates that may produce si...
textSince arbitrage-free is a desirable theoretical feature in a healthy financial market, many effo...
This paper studies the predictive ability of a variety of models in forecasting the yield curve for ...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
Abstract: Despite powerful advances in yield curve modeling in the last twenty years, little attenti...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
Modeling the term structure of interest rate is very important to macroeconomists and financial mark...
AbstractWe assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Ne...
Abstract: Modeling the term structure of interest rate is very important to macroeconomists and fina...
Abstract: Modeling the term structure of interest rate is very important to macroeconomists and fina...
none1siI propose a strategy for forecasting the term structure of interest rates that may produce si...
In this paper we model and predict the term structure of US interest rates in a data-rich and unstab...
none1siI propose a strategy for forecasting the term structure of interest rates that may produce si...
none1siI propose a strategy for forecasting the term structure of interest rates that may produce si...
textSince arbitrage-free is a desirable theoretical feature in a healthy financial market, many effo...