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