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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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