12-076/4 - Forecasting Interest Rates with Shifting Endpoints

• Authors
  Dick van Dijk, Erasmus University Rotterdam; Siem Jan Koopman, VU University Amsterdam; Michel van der Wel, Erasmus University Rotterdam, CREATES, Aarhus; Jonathan H. Wright, Johns Hopkins University
• Publication date
  July 19, 2012

• Keywords
  term structure of interest rates, forecasting, non-stationarity, survey forecasts, yield curve
• JEL
  C32, E43, G17