Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data

International Journal of Forecasting

Volumn 29, Issue 3, 2013, Pages 442-455

  Chua, Chew Lian ^a   Suardi, Sandy ^b   Tsiaplias, Sarantis ^c  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b LA TROBE UNIVERSITY   (Australia)

^c Predictive Analytics Group   (Australia)

Author keywords

Bayesian model averaging; Out of sample forecasts; Short term interest rates

Indexed keywords

EID: 84875579835     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2012.10.003     Document Type: Article

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