Forecasting the term structure when short-term rates are near zero

Keyphrases

• Near-zero 100%
• Short-term Interest Rate 100%
• Nelson-Siegel Model 100%
• Term Rate 100%
• Autoregressive Model 50%
• Forecast Horizon 50%
• Out-of-sample Forecasting 50%
• UK Government 50%
• Random Walk Model 50%
• Government Bond Yields 50%
• Recent Experience 50%
• Bond Yields 50%

Economics, Econometrics and Finance

• Interest Rate 100%
• Public Bond 50%
• Yield Curve 50%
• Principal Components 50%