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Forecasting the Brazilian Yield Curve Using Forward-Looking Variables
(Elsevier, 2016-10-25)
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 ...
Forecasting the Brazilian yield curve using forward-looking variables
(Elsevier, 2017-10-25)
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 ...