Author: | Byers, S. L. & Nowman, K. B. |
Title: | Forecasting U. K. and U. S. Interest rates using continuous time term structure models. |
Journal: | International Review of Financial Analysis
1998 : VOL. 7:3, p. 191-206 |
Index terms: | Interest rates Time series Forecasting techniques Estimation |
Language: | eng |
Abstract: | The authors compare the forecasting performance of different one factor interest rate models commonly used in the financial markets. The models are estimated using weekly Euro-currency data for the U. K. and U. S. over a range of maturities. The forecasting performance varies across models and markets. |
SCIMA