Forecasting the yield curve using a dynamic natural cubic spline model

C-Tier
Journal: Economics Letters
Year: 2018
Volume: 168
Issue: C
Pages: 73-76

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose a dynamic natural cubic spline model with a two-step procedure for the forecasting of the entire yield curve. We apply our method to the monthly Chinese yield-curve data and evaluate the out-of-sample forecast performance. We find that our method compares favourably with its competitors, especially in the medium and long-term forecasts.

Technical Details

RePEc Handle
repec:eee:ecolet:v:168:y:2018:i:c:p:73-76
Journal Field
General
Author Count
2
Added to Database
2026-01-29