Forecasting the term structure of government bond yields in unstable environments

In this paper we model and predict the term structure of US interest rates in a data-rich and unstable environment. The dynamic Nelson–Siegel factor model is extended to allow the model dimension and the parameters to change over time, in order to account for both model uncertainty and sudden struct...

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Bibliographic details
Volume: 44
Main Author: Byrne, Joseph P
Cao, Shuo
Korobilis, Dimitris
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: AMSTERDAM Elsevier B.V 01.12.2017
ELSEVIER SCIENCE BV
published in: Journal of empirical finance Vol. 44; pp. 209 - 225
ORCID: 0000-0001-9146-3008
0000-0002-7291-590X
0000-0002-0623-0398
Data of publication: December 2017
ISSN: 0927-5398
1879-1727
EISSN: 1879-1727
Discipline: Economics
Mathematics
Business
Subjects:
C52
C32
E43
E47
G17
US
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2017
Web of Knowledge
Web of Science
CrossRef
Academic OneFile (A&I only)
Database information Databases - DBIS