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Knut Lehre Seip and Dan Zhang
Previous studies have shown that the treasury yield curve, T, forecasts upcoming recessions when it obtains a negative value. In this paper, we try to improve the yield curve model while keeping its parsimony. First, we show that adding the federal funds...
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Samar A. Shilbayeh, Abdullah Abonamah and Ahmad A. Masri
Prediction models of coronavirus disease utilizing machine learning algorithms range from forecasting future suspect cases, predicting mortality rates, to building a pattern for country-specific pandemic end date. To predict the future suspect infection ...
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Eric Hillebrand, Huiyu Huang, Tae-Hwy Lee and Canlin Li
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Felipe Pinheiro,Caio Ibsen Rodrigues de Almeida,José Valentim Vicente
Pág. pp. 79 - 92
Recently, a myriad of factor models including macroeconomic variables have been proposed to analyze the yield curve. We present an alternative factor model where term structure movements are captured by Legendre polynomials mimicking the statistical fact...
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