Luis Leite Andre

Government of the Federative Republic of Brazil - Central Bank of Brazil

P.O. Box 08670

SBS Quadra 3 Bloco B - Edificio-Sede

Brasilia, Distr. Federal 70074-900

Brazil

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Does Curvature Enhance Forecasting?

Number of pages: 36 Posted: 14 Mar 2018
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil, Government of the Federative Republic of Brazil - Central Bank of Brazil, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finan├žas and Government of the Federative Republic of Brazil - Central Bank of Brazil
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Citation 1

Abstract:

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Parametric Term Structure Models, Principal Components, Vector Autoregressive Models, Interest Rate Mean Forecasting