Forecasts of US short-term interest rates: A flexible forecast combination approach

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 297-311

  Guidolin, Massimo ^a,b   Timmermann, Allan ^c  

^a FEDERAL RESERVE BANK OF ST LOUIS   (United States)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Expectations hypothesis; Forecast combinations; Regime switches; Short term interest rates

Indexed keywords

COMBINING FORECASTS; EMPIRICAL EVIDENCES; EXPECTATIONS HYPOTHESIS; FORECAST COMBINATIONS; FORECASTING MODELS; FORECASTING PERFORMANCE; MACROECONOMIC VARIABLES; REGIME SWITCHES; SHORT TERM INTEREST RATES; TIME-SERIES MODELS;

FORECASTING;

EID: 61849096242     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.004     Document Type: Article

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