English, Article, Journal or magazine article edition: Forecasting US bond yields at weekly frequency Riccardo LUCCHETTI; Giulio PALOMBA

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Bookmark: http://trove.nla.gov.au/version/18640
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Forecasting US bond yields at weekly frequency
Author
  • Riccardo LUCCHETTI
  • Giulio PALOMBA
Physical Description
  • preprint
Notes
  • Forecasting models for bond yields often use macro data to improve their properties. Unfortunately, macro data are not available at frequencies higher than monthly.;In order to mitigate this problem, we propose a nonlinear VEC model with conditional heteroskedasticity (NECH) and find that such model has superior in-sample performance than models which fail to encompass nonlinearities and/​or GARCH-type effects.;Out-of-sample forecasts by our model are marginally superior to competing models; however, the data points we used for evaluating forecasts refer to a period of relative tranquillity on the financial markets, whereas we argue that our model should display superior performance under "unusual" circumstances.
  • conditional heteroskedasticity, forecasting, interest rates, nonlinear cointegration
  • RePEc:anc:wpaper:261
Language
  • English
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