Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7348892 | Economics Letters | 2018 | 4 Pages |
Abstract
We propose a dynamic natural cubic spline model with a two-step procedure for the forecasting of the entire yield curve. We apply our method to the monthly Chinese yield-curve data and evaluate the out-of-sample forecast performance. We find that our method compares favourably with its competitors, especially in the medium and long-term forecasts.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Pan Feng, Junhui Qian,