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Forecasting the term structure when short-term rates are near zero
James M. Steeley
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Accounting
Economics, Finance and Entrepreneurship
Aston Business School
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Mathematics
Autoregressive Model
19%
Curve
10%
Forecast
41%
Forecasting
80%
Government
23%
Horizon
37%
Interest Rates
44%
Model
23%
Performance
10%
Principal Components
19%
Random walk
15%
Regression
27%
Slope
33%
Term
9%
Term Structure
100%
Zero
35%
Business & Economics
Autoregressive Model
26%
Bond Yields
27%
Government Bonds
26%
Interest Rates
33%
Nelson-Siegel Model
72%
Out-of-sample Forecasting
25%
Performance
8%
Principal Components
26%
Random Walk Model
30%
Short Interest
33%
Short-term Interest Rates
27%
Term Structure
75%
Yield Curve
27%