- Conference paper

Van Dellen, S., Juneja, J.A., Nowman, K.B. and Zhao, G. 2016. US and Canadian term structures of interest rates: A forecasting comparison. *23rd Annual Conference of the Multinational Finance Society.* Stockholm, Sweden 26 - 29 Jun 2016

Title | US and Canadian term structures of interest rates: A forecasting comparison |
---|---|

Authors | Van Dellen, S., Juneja, J.A., Nowman, K.B. and Zhao, G. |

Type | Conference paper |

Abstract | This paper provides empirical evidence for the US and Canadian yield curves using a one- and two-factor Generalised Vasicek model, using a data set comprised of daily panel data over the period between 2003 and 2011, which includes the recent global financial crisis. The two-factor model is found to have a good fit for both the US and Canadian yield curves. We also compare the forecasting performance of the term structure model with those from ARIMA, ARFIMA and Nelson-Siegel models. We find that for Canada the Nelson-Siegel model dominates, while for the US the ARFIMA model has a satisfactory performance. |

Keywords | Yield curve |

Kalman filter | |

Nelson-Siegel | |

ARFIMA | |

Year | 2016 |

Conference | 23rd Annual Conference of the Multinational Finance Society |

Accepted author manuscript |

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