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| 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. |
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