Nearest-Neighbor Forecasts of U.S Interest Rates

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...

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Bibliographic Details
Main Authors: John Barkoulas, Christopher F. Baum, Atreya Chakraborty
Format: Article
Language:English
Published: Universiti Utara Malaysia 2003-03-01
Series:The International Journal of Banking and Finance
Online Access:https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8331

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