Nearest-Neighbor Forecasts of U.S Interest Rates
We employ a nonlinear, nonparametric method to model the stochastic behavior of changes in several short and long term U.S interest rates. We apply a nonlinear autoregression to the series using the locally weighted regression (LWR) estimation method, a nearest-neighbor method, and evaluate the for...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2003-03-01
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| Series: | The International Journal of Banking and Finance |
| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8331 |