We compare forecasts of recessions using four different specifications of the probit model: a time invariant conditionally independent version; a business cycle specific conditionally independent model; a time invariant probit with autocorrelated errors; and a business cycle specific probit with aut
✦ LIBER ✦
Forecasting the yield curve with linear factor models
✍ Scribed by Marco Matsumura; Ajax Moreira; José Vicente
- Book ID
- 116577461
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 468 KB
- Volume
- 20
- Category
- Article
- ISSN
- 1057-5219
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
Forecasting recessions using the yield c
✍
Marcelle Chauvet; Simon Potter
📂
Article
📅
2005
🏛
John Wiley and Sons
🌐
English
⚖ 452 KB
Forecasting the yield curve: A statistic
✍
André Luís Leite; Romeu Braz Pereira Gomes Filho; José Valentim Machado Vicente
📂
Article
📅
2010
🏛
Elsevier Science
🌐
English
⚖ 541 KB
Parsimonious modeling and forecasting of
✍
Wei-Choun Yu; Donald M. Salyards
📂
Article
📅
2009
🏛
John Wiley and Sons
🌐
English
⚖ 504 KB
## Abstract This paper investigates the sensitivity of out‐of‐sample forecasting performance over a span of different parameters of l in the dynamic Nelson–Siegel three‐factor AR(1) model. First, we find that the ad hoc selection of l is not optimal. Second, we find a substantial difference in fact
Forecasting the yield curve for the Euro
✍
B.M. Tabak; A.B. Sollaci; G.M. Gomes; D.O. Cajueiro
📂
Article
📅
2012
🏛
Elsevier Science
🌐
English
⚖ 201 KB
FORECASTING THE YIELD CURVE USING PRIORS
✍
Andrea Carriero
📂
Article
📅
2011
🏛
John Wiley and Sons
🌐
English
⚖ 924 KB
Forecasting telecommunications data with
✍
Gary Madden; Joachim Tan
📂
Article
📅
2007
🏛
Elsevier Science
🌐
English
⚖ 210 KB