Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations

dc.creatorLaurini, MP
dc.creatorHotta, LK
dc.date2014
dc.dateAPR
dc.date2014-07-30T17:36:51Z
dc.date2015-11-26T17:40:20Z
dc.date2014-07-30T17:36:51Z
dc.date2015-11-26T17:40:20Z
dc.date.accessioned2018-03-29T00:21:59Z
dc.date.available2018-03-29T00:21:59Z
dc.identifierJournal Of Forecasting. Wiley-blackwell, v. 33, n. 3, n. 214, n. 230, 2014.
dc.identifier0277-6693
dc.identifier1099-131X
dc.identifierWOS:000333142900004
dc.identifier10.1002/for.2288
dc.identifierhttp://www.repositorio.unicamp.br/jspui/handle/REPOSIP/67030
dc.identifierhttp://repositorio.unicamp.br/jspui/handle/REPOSIP/67030
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1286694
dc.descriptionThis article discusses the use of Bayesian methods for inference and forecasting in dynamic term structure models through integrated nested Laplace approximations (INLA). This method of analytical approximation allows accurate inferences for latent factors, parameters and forecasts in dynamic models with reduced computational cost. In the estimation of dynamic term structure models it also avoids some simplifications in the inference procedures, such as the inefficient two-step ordinary least squares (OLS) estimation. The results obtained in the estimation of the dynamic Nelson-Siegel model indicate that this method performs more accurate out-of-sample forecasts compared to the methods of two-stage estimation by OLS and also Bayesian estimation methods using Markov chain Monte Carlo (MCMC). These analytical approaches also allow efficient calculation of measures of model selection such as generalized cross-validation and marginal likelihood, which may be computationally prohibitive in MCMC estimations. Copyright (c) 2014 John Wiley & Sons, Ltd.
dc.description33
dc.description3
dc.description214
dc.description230
dc.languageen
dc.publisherWiley-blackwell
dc.publisherHoboken
dc.publisherEUA
dc.relationJournal Of Forecasting
dc.relationJ. Forecast.
dc.rightsfechado
dc.rightshttp://olabout.wiley.com/WileyCDA/Section/id-406071.html
dc.sourceWeb of Science
dc.subjectlatent factors
dc.subjectterm structure
dc.subjectBayesian forecasting
dc.subjectLaplace approximations
dc.subjectNelson-siegel Model
dc.subjectBayesian-inference
dc.subjectYields
dc.titleForecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
dc.typeArtículos de revistas


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