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  • 标题:Forecasting the Yield Curve for Poland
  • 本地全文:下载
  • 作者:Tomasz Piotr Kostyra ; Michał Rubaszek
  • 期刊名称:Econometric Research in Finance
  • 印刷版ISSN:2451-1935
  • 电子版ISSN:2451-2370
  • 出版年度:2020
  • 卷号:5
  • 期号:2
  • 页码:103-117
  • DOI:10.2478/erfin-2020-0006
  • 摘要:This paper evaluates the accuracy of forecasts for Polish interest rates of various maturities. We apply the traditional autoregressive Diebold-Li framework as well as its extension, in which the dynamics of latent factors are explained with machine learning techniques. Our findings are fourfold. Firstly, they show that all methods have failed to predict the declining trend of interest rates. Secondly, they suggest that the dynamic affine models have not been able to systematically outperform standard univariate time series models. Thirdly, they indicate that the relative performance of the analyzed models has depended on yield maturity and forecast horizon. Finally, they demonstrate that, in comparison to the traditional time series models, machine learning techniques have not systematically improved the accuracy of forecasts.
  • 关键词:yield curve; forecasting; Diebold-Li model; machine learning
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