Forecasting latin-american yield curves: an artificial neural network approach

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Borradores de Economía; No. 761

Date published

2013-03-01

Date

2013-03-01

Authors

Vela, Daniel

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spa
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This document explores the predictive power of the yield curves in Latin America (Colombia, Mexico, Peru and Chile) taking into account the factors set by the specifications of Nelson y Siegel and Svensson. Several forecasting methodologies are contrasted

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JEL Codes

C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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Keywords

Keywords

Term structure of interest rates , Nelson y Siegel , Svensson , out-of-sample forecast , Artificial neural networks

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https://repositorio.banrep.gov.co/handle/20.500.12134/5901
 https://hdl.handle.net/20.500.12134/5901
 https://ideas.repec.org/p/bdr/borrec/761.html
 https://doi.org/10.32468/be.761

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