Bridge over ocean
1 November 1993 Financial Analysts Journal Volume 49, Issue 6

Forecasts from a Nonlinear T-Bill Rate Model

  1. Maurice Larrain
  2. Michael S. Pagano
A nonlinear Treasury-bill rate model can be used to forecast out-of-sample interest rates. The resulting forecasts represent a genuine improvement over naive forecasts. The nonlinear model yielded consistent directional changes that anticipated actual interest rate turning points over the three-year forecasting period.
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Publisher Information
Association for Investment Management and Research 6 pages doi.org/10.2469/faj.v49.n6.83 ISSN/ISBN: 0015-198X

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