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.
Read the Complete Article in Financial Analysts Journal
Financial Analysts Journal
CFA Institute Member ContentPublisher Information
Association for Investment Management and Research
6 pages doi.org/10.2469/faj.v49.n6.83ISSN/ISBN: 0015-198X
We're using cookies, but you can turn them off in Privacy Settings. Otherwise, you are agreeing to our use of cookies. Learn more in our Privacy Policy.
Privacy Settings
Functional cookies, which are necessary for basic site functionality like keeping you logged in, are always enabled.