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 Premium Member Content
This is available to the following CFA Institute membership classes: CFA charterholders, Professionals, and Affiliates.