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07-028/4 - Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information

  • Authors
    Michiel D. de Pooter, Erasmus Universiteit Rotterdam; Francesco Ravazzolo, Erasmus Universiteit Rotterdam; Dick van Dijk, Erasmus Universiteit Rotterdam
  • Publication date
    March 9, 2007
  • Keywords
    Term structure of interest rates; Nelson-Siegel model; Affine term structure model; forecast combination; Bayesian analysis
  • JEL
    C5; C11; C32; E43; E47; F47
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