Predicting short-term interest rates [electronic resource] : does Bayesian model averaging provide f...
Predicting short-term interest rates [electronic resource] : does Bayesian model averaging provide f...
Predicting short-term interest rates [electronic resource] : does Bayesian model averaging provide forecast improvement? / Chew Lian Chua, Sandy Suardi and Sarantis Tsiaplias.
About this item
Full title
Author / Creator
Publisher
[Parkville, Vic.] : Melbourne Institute of Applied Economic and Social Research, University of Melbourne, 2011.
Date
2011.
Record Identifier
MMS ID
Language
English
Formats
Physical Description
Physical content
38 p.
Publication information
Publisher
[Parkville, Vic.] : Melbourne Institute of Applied Economic and Social Research, University of Melbourne, 2011.
Series
Place of Publication
Victoria
Date Published
2011.
Subjects
More information
Scope and Contents
Summary
This paper examines the forecasting qualities of Bayesian Model Averaging (BMA) over a set of single factor models of short-term interest rates. Using weekly and high frequency data for the one-month Eurodollar rate, BMA produces predictive likelihoods that are considerably better than the majority of the short-rate models, but marginally worse of...
Alternative Titles
Full title
Predicting short-term interest rates [electronic resource] : does Bayesian model averaging provide forecast improvement? / Chew Lian Chua, Sandy Suardi and Sarantis Tsiaplias.
Authors, Artists and Contributors
Author / Creator
Notes
General note
Melbourne Institute working paper series, 1447-5863 ; no. 1/11.
Melbourne Institute working paper, 1447-5863 ; no. 1/11.
Title from title screen (viewed on August 29, 2011)
"January 2011".
Includes bibliographical references (p. 29-32)
Additional physical form availability note
Also available in a print version.
System details note
Mode of access: Internet via the World Wide Web. Address as at 29/08/2011: http://www.melbourneinstitute.com/downloads/working_paper_series/wp2011n01.pdf.
System requirements: Adobe Acrobat reader to read pdf file.
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Record Identifier
74VvK0BaEvAM
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VvK0BaEvAM
Other Identifiers
ISBN
9780734042323
DDC
519.542
MMS ID
991007945519702626
