Download or read book Comparison of Forecasting Models for Interest Rates written by Jean Crockett and published by . This book was released on 1976 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Managing Interest Rate Risk written by Maria Helena Fernandes and published by . This book was released on 2005 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics

Download or read book New and Old Models of Business Investment written by Stephen Oliner and published by . This book was released on 1993 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Forecasting Accuracy of Models of the Term Structure of Interest Rates written by Alan David Kraus and published by . This book was released on 1969 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book New and Old Models of Business Investment written by Stephen Oliner and published by . This book was released on 1993 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forecasting the Term Structure of Interest Rates with Potentially Misspecified Models written by Yunjong Eo and published by . This book was released on 2018 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the out-of-sample predictive accuracy of a mixture of bond yield models with that of the individual models. The individual models considered here are the dynamic Nelson--Siegel model, arbitrage-free Nelson--Siegel model, and random-walk model. Out-of-sample forecasts for U.S. bond yields show that none of the individual models dominates the others across all maturities and forecast horizons, although the random-walk model performs well in most cases. We then assess the predictive accuracy for two subsamples: before and during a period of zero interest rates. In the first subperiod, overall the mixture of the three models outperforms the individual models, whereas the random-walk model seems to forecast better than all combinations for the period of zero interest rates. We show that these mixed results on the forecasting ability of the mixture models across the subsamples can be attributed to the zero interest-rate policy.

Download or read book Comparing Models for Forecasting the Yield Curve written by Marco Shinobu Matsumura and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages and disadvantages, and it is an empirical matter to evaluate the performance of the approaches. This exercise compares 4 alternative models for the term structure using 3 different markets: the Brazilian domestic and sovereign market and the US market.

Download or read book Forecasting the Comovements of Spot Interest Rates written by Miguel A. Ferreira and published by . This book was released on 2004 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time-varying covariance models are compared in the French and German interest rate markets of the pre-euro period. A bivariate, asymmetric dynamic covariance model with level effect best characterizes the in-sample variance-covariance dynamics. Model comparison using economic loss functions raises some doubts with alternative models performing similarly. Out-of-sample results show that the variance-covariance matrix is best forecasted using a VECH model with level effect but no volatility spillover, not entirely confirming the in-sample evidence. Simple models using exponentially-weighted moving averages of past observations perform similarly to the best bivariate model. Thus, some features required to obtain a good in-sample fit do not have additional out-of-sample forecasting power due to overfitting.

Download or read book Forecasting UK GDP Growth Inflation and Interest Rates Under Structural Change written by Alina Barnett and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Building and Using Dynamic Interest Rate Models written by Ken O. Kortanek and published by John Wiley & Sons. This book was released on 2001-11-28 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.

Download or read book On the Selection of Forecasting Models written by Atsushi Inoue and published by . This book was released on 2003 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Comparison of Forecast Performance Between Federal Reserve Staff Forecasts Simple Reduced form Models and a DSGE Model written by Rochelle Mary Edge and published by . This book was released on 2009 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Interest Rate Analysis and Forecasting written by David Kern and published by . This book was released on 1992 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this book is on interest rate forecasting, and the interaction between analytical factors, political and economic developments and changes in the financial markets. The book takes an international approach with the emphasis on the USA, Germany, Japan and the UK.

Download or read book Forecasting the Yield Curve of Government Bonds written by Chao He and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

Download or read book Business Cycles Indicators and Forecasting written by James H. Stock and published by University of Chicago Press. This book was released on 2008-04-15 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: The inability of forecasters to predict accurately the 1990-1991 recession emphasizes the need for better ways for charting the course of the economy. In this volume, leading economists examine forecasting techniques developed over the past ten years, compare their performance to traditional econometric models, and discuss new methods for forecasting and time series analysis.