Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?
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More about this item
Keywords
Bayesian model averaging; out-of-sample forecasts;JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-08-09 (Central Banking)
- NEP-FOR-2011-08-09 (Forecasting)
- NEP-MST-2011-08-09 (Market Microstructure)
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