We examine the importance of incorporating macroeconomic information and, in particular,
accounting for model uncertainty when forecasting the term structure of US interest rates. We …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

Inspired by the preferred habitat theory, we propose parametric interest rate models that split
the term structure into segments. The proposed models are compared with successful term …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

This chapter discusses what the asset-pricing literature concludes about the forecastability
of interest rates. It outlines forecasting methodologies implied by this literature, including …

We present and estimate a continuous time term structure model that incorporates
observable macroeconomic variables and latent variables with a clear macroeconomic …

We show how to price the time series and cross section of the term structure of interest rates
using a three-step linear regression approach. Our method allows computationally fast …

This paper extends previous work on the information in the US term structure at longer
maturities to Britain, West Germany, and Switzerland. We find strong evidence that the term …

We forecast the term structure of US Treasury zero-coupon bond yields by analyzing a range
of models that have been used in the literature. We assess the relevance of parameter …

This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using
new data for Germany. The German term structure appears to forecast future short-term …