Modeling and forecasting short-term interest rates: The benefits of smooth regimes, Macroeconomic variables, and bagging (JAE 2011)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Francesco Audrino, Marcelo C. Medeiros Modeling and forecasting short-term interest rates: The benefits of smooth regimes, Macroeconomic variables, and bagging JAE 2011 6 999–1022 - Short-term interest rate, Regression tree, Smooth transition, Conditional variance, Bagging, Asymptotic theory

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
0 - not available online 0 - not available online 0 - not available online Generalized autoregressive conditional heteroskedasticity (GARCH) Time series - - -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.1002/jae.1171 IDEAS: a/wly/japmet/v26y2011i6p999-1022.html EconPapers: RePEc:wly:japmet:v:26:y:2011:i:6:p:999-1022


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