Nearest-neighbor forecast of U.S. interest rates

We employ a nonlineal: nonparametric method to model the stochastic behavior of changes in several short and long term U.S. interest rates. We apply a nonlinear autoregression to the series using the locally weighted regression (LWR) estimation method, a nearest-neighbor method, and evaluate the for...

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Bibliographic Details

Main Authors:	Barkoulas, John, Baum, Christopher F., Chakraborty, Atreya
Format:	Article
Language:	en
Published:	Universiti Utara Malaysia 2003
Subjects:	HG Finance
Online Access:	https://repo.uum.edu.my/id/eprint/334/1/John_Barkoulas.pdf https://repo.uum.edu.my/id/eprint/334/
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