Forecasting the Yield Curve for Poland
ABSTRACT: This paper evaluates the accuracy of forecasts for Polish interest rates of various maturities. We apply the traditional autoregressive Diebold-Li framework as well as its extension, in which the dynamics of latent factors are explained with machine learning techniques. Our findings are f...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SGH Warsaw School of Economics, Collegium of Economic Analysis
2020-09-01
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| Series: | Econometric Research in Finance |
| Subjects: | |
| Online Access: | https://www.erfin.org/journal/index.php/erfin/article/view/92 |