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All figures (15)
Figure 7 Model-Based Level, Slope and Curvature (i.e., Estimated Factors) vs. Data-Based Level, Slope and Curvature
Table 1 Descriptive Statistics, Yield Curves
Figure 2 Yield Curves, 1985.01-2000.12
Table 2 Descriptive Statistics, Yield Curve Residuals
Table 5 Out-of-Sample 6-month-Ahead Forecasting Results
Figure 3 Median Data-Based Yield Curve with Pointwise Interquartile Range
Figure 6 Yield Curve Residuals, 1985.01 - 2000.12
Table 7 Out-of-Sample Forecast Accuracy Comparisons
Table 4 Out-of-Sample 1-Month-Ahead Forecasting Results
Figure 4 Actual (Data-Based) and Fitted (Model-Based) Average Yield Curve
Table 6 Out-of-Sample 12-month-Ahead Forecasting Results
Figure 8 Autocorrelations and Residual Autocorrelations of Level, Slope and Curvature Factors
Figure 5 Selected Fitted (Model-Based) Yield Curves
Table 3 Descriptive Statistics, Estimated Factors
Figure 1 Factor Loadings
Journal Article
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DOI
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The Nobel Memorial Prize for Robert F. Engle
[...]
Francis X. Diebold
1
,
Francis X. Diebold
2
•
Institutions (2)
University of Pennsylvania
1
,
National Bureau of Economic Research
2
01 Feb 2004
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Social Science Research Network