This article has greatly benefited from several comments and detailed suggestions by three anonymous referees and by Frank Schorfheide. I also thank seminar participants at the University of Bristol, at the EC2 meeting in Faro, and at the London-OxBridge Time Series Workshop in LSE. Errors are mine. Please address correspondence to: Andrea Carriero, Department of Economics, Queen Mary, University of London, Mile End Road, London E1 4NS, U.K. Phone: +44-20-7882-8050. E-mail: a.carriero@qmul.ac.uk.
1468-2354/asset/IERE_centre.gif?v=1&s=0c315c019499e503c6ee8beebeaf22509be89282)
FORECASTING THE YIELD CURVE USING PRIORS FROM NO-ARBITRAGE AFFINE TERM STRUCTURE MODELS†
Article first published online: 25 APR 2011
DOI: 10.1111/j.1468-2354.2011.00634.x
© (2011) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association
Additional Information
How to Cite
Carriero, A. (2011), FORECASTING THE YIELD CURVE USING PRIORS FROM NO-ARBITRAGE AFFINE TERM STRUCTURE MODELS. International Economic Review, 52: 425–459. doi: 10.1111/j.1468-2354.2011.00634.x
- †
Manuscript received September 2007; revised October 2008.
- ‡
This article has greatly benefited from several comments and detailed suggestions by three anonymous referees and by Frank Schorfheide. I also thank seminar participants at the University of Bristol, at the EC2 meeting in Faro, and at the London-OxBridge Time Series Workshop in LSE. Errors are mine. Please address correspondence to: Andrea Carriero, Department of Economics, Queen Mary, University of London, Mile End Road, London E1 4NS, U.K. Phone: +44-20-7882-8050. E-mail: a.carriero@qmul.ac.uk.
Publication History
- Issue published online: 25 APR 2011
- Article first published online: 25 APR 2011
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