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Macroeconomics / Yield curve / Economic model / Macroeconomic model / Forecasting / Factor analysis / Macro risk / Fixed-income attribution / Statistics / Economics / Fixed income market


Term Structure Forecasting Using macro Factors and Forecast Combination
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Document Date: 2010-03-25 17:01:58

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File Size: 1,77 MB

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City

Washington / D.C. / Rotterdam / /

Company

Cox / Diebold / U.SA. / /

Country

United States / /

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Facility

Erasmus University / /

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IndustryTerm

retail / manufacturing / francesco.ravazzolo@norges-bank.no / /

NaturalFeature

Φ3 Mt / Φ2 Mt / Φ1 Mt / /

Organization

Federal Reserve Bank of New York / Board of Governors of the Federal Reserve System International Finance Discussion Papers Number / Norges Bank / Federal Reserve Norges Bank / US Federal Reserve / Board of Governors / Erasmus University Rotterdam / CRSP government / Federal Reserve Board / U.S. Treasury / Central Bank of Norway / Division of International Finance / /

Person

Affine / Daniel Thornton / Dagfinn Rime / Francesco Ravazzolo Dick van Dijk / Torben Andersen / Martin Martens / Robert Bliss / Incorporating Parameter Uncertainty / /

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Position

author / staff economist / model for the macro economy / writer / Nelson-Siegel model / Corresponding author / term structure model / Model / /

ProvinceOrState

Arkansas / /

URL

www.ssrn.com / www.federalreserve.gov/pubs/ifdp / /

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