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We propose a dynamic natural cubic spline model with a two-step procedure for the forecasting of the entire yield curve. We apply our method to the monthly Chinese yield-curve data… Click to show full abstract
We propose a dynamic natural cubic spline model with a two-step procedure for the forecasting of the entire yield curve. We apply our method to the monthly Chinese yield-curve data and evaluate the out-of-sample forecast performance. We find that our method compares favourably with its competitors, especially in the medium and long-term forecasts.
Keywords:
cubic spline;
dynamic natural;
yield curve;
yield;
natural cubic
Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!