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 …

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 …

No-arbitrage term structure models impose cross-sectional restrictions among yields and
can be used to impose dynamic restrictions on risk compensation. This paper evaluates the …

I propose a strategy for forecasting the term structure of interest rates that may produce
significant gains in predictive accuracy. The key idea is to use the restrictions implied by …

This paper proposes a statistical model to adjust, interpolate, and forecast the term structure
of interest rates. The model is based on the extensions for the term structure model of …

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 …

We propose a statistical model of the term structure of US treasury yields tailored for long-
term probability-based scenario generation and forecasts. Our model is easy to estimate and …

This paper studies whether dynamic term structure models for US nominal bond yields
should enforce the zero lower bound by a quadratic policy rate or a shadow rate …

The estimation of dynamic no-arbitrage term structure models with a flexible specification of
the market price of risk is beset by severe small-sample problems arising from the highly …

We propose a new approach to forecasting the term structure of interest rates, which allows
to efficiently extract the information contained in a large panel of yields. In particular, we use …