In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rates. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor ...

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and ...

This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve in order to predict the Brazilian term structure of interest ...

This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly ...

O presente trabalho propõe um modelo de previsão simultânea de taxas de câmbio de vários países utilizando a abordagem GVAR e analisa a qualidade destas previsões. Para isso foram utilizados dados de 10 países ou regiões ...

Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, ...

The aim of this study is to investigate the link between the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil and disagreements in inflation forecasts. We gauge the former ...

This paper proposes to apply a similar framework adopted by Diebold and Li (2006) to forecast the Brazilian term structure of the US dollar-denominated interest rates, which have been done through the well-known three ...