In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008
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- Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
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- Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series rp135, International Center for Financial Asset Management and Engineering.
More about this item
Keywords
interest rate; multi-factor diffusion process; specification test; out-of-sample forecasts; block bootstrap;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G0 - Financial Economics - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2011-12-13 (Econometric Time Series)
- NEP-FOR-2011-12-13 (Forecasting)
Statistics
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