Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set
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- Carlo A. Favero & Linlin Niu & Luca Sala, 2007. "Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set," Working Papers 318, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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Citations
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Cited by:
- Elizondo Rocío, 2013. "Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model," Working Papers 2013-03, Banco de México.
- Andrea Carriero, 2011.
"Forecasting The Yield Curve Using Priors From No‐Arbitrage Affine Term Structure Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(2), pages 425-459, May.
- Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
- Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
- Guidolin, Massimo & Thornton, Daniel L., 2018.
"Predictions of short-term rates and the expectations hypothesis,"
International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
- Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
- Marcello Pericoli & Marco Taboga, 2008.
"Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
- Marcello Pericoli & Marco Taboga, 2008. "Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
- Almeida, Caio & Vicente, José, 2008.
"The role of no-arbitrage on forecasting: Lessons from a parametric term structure model,"
Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2695-2705, December.
- Almeida, Caio Ibsen Rodrigues de & Vicente, José, 2007. "The role of no-arbitrage on forecasting: lessons from a parametric term structure model," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 657, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Elizondo Rocío, 2023. "The Three Intelligible Factors of the Yield Curve in Mexico," Working Papers 2023-13, Banco de México.
- repec:hal:journl:peer-00844809 is not listed on IDEAS
- Nikolaou, Kleopatra & Modugno, Michele, 2009. "The forecasting power of internal yield curve linkages," Working Paper Series 1044, European Central Bank.
- Mirkov, Nikola & Sutter, Barbara, 2012. "Central Bank Reserves and the Yield Curve at the ZLB," Working Papers on Finance 1208, University of St. Gallen, School of Finance.
- Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007.
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010.
"Forecasting Government Bond Yields with Large Bayesian VARs,"
Working Papers
662, Queen Mary University of London, School of Economics and Finance.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," CEPR Discussion Papers 7796, C.E.P.R. Discussion Papers.
- Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016.
"Demographics and the Behavior of Interest Rates,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
- Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- William Lin & Shih-Chuan Tsai & David Sun, 2011.
"Price informativeness and predictability: how liquidity can help,"
Applied Economics, Taylor & Francis Journals, vol. 43(17), pages 2199-2217.
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- Carriero, Andrea & Giacomini, Raffaella, 2011.
"How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 21-34, September.
- Andrea Carriero & Raffaella Giacomini, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Post-Print hal-00844809, HAL.
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More about this item
Keywords
Factor models; Forecasting; Large data set; Term structure of interest rates; Yield curve;All these keywords.
JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-03-31 (Econometrics)
- NEP-FMK-2007-03-31 (Financial Markets)
- NEP-FOR-2007-03-31 (Forecasting)
- NEP-MAC-2007-03-31 (Macroeconomics)
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