Are levels effects important in out-of-sample performance of short rate models?

Economics Letters

Volumn 99, Issue 1, 2008, Pages 181-184

  Suardi, Sandy ^a  

^a LA TROBE UNIVERSITY   (Australia)

Author keywords

Forecast evaluation; Interest rates; Level effects; Volatility

Indexed keywords

EID: 41149104567     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2007.06.023     Document Type: Article

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