Using the Entire Yield Curve in Forecasting Output and Inflation

Using the Entire Yield Curve in Forecasting Output and Inflation

In forecasting a variable (forecast target) using many predictors, a factor model with principal components (PC) is often used. When the predictors are the yield curve (a set of many yields), the Nelson–Siegel (NS) factor model is used in place of the PC factors. These PC or NS factors are...

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Bibliografische gegevens
Hoofdauteurs: Eric Hillebrand, Huiyu Huang, Tae-Hwy Lee, Canlin Li
Formaat: Artikel
Taal:English
Gepubliceerd in: MDPI AG 2018-08-01
Reeks:Econometrics
Onderwerpen:
level, slope, and curvature of the yield curve
Nelson-Siegel factors
supervised factor models
combining forecasts
principal components
Online toegang:http://www.mdpi.com/2225-1146/6/3/40

Internet

http://www.mdpi.com/2225-1146/6/3/40

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