Prediction of Term Structure with Potentially Misspecified Macro-Finance Models near the Zero Lower Bound
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Keywords
Term structure; Forecasting; Financial markets and the macroeconomy; Optimal pool; Dynamic prediction pool; Markov-switching mixture; Bayesian estimation;All these keywords.
JEL classification:
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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