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- W3123303617 abstract "Abstract Time-varying covariance models are compared in the French and German interest rate markets of the pre-euro period. A bivariate, asymmetric dynamic covariance model with level effect best characterizes the in-sample variance–covariance dynamics. Model comparison using economic loss functions raises some doubts with alternative models performing similarly. Out-of-sample results show that the variance–covariance matrix is best forecasted using a VECH model with level effect but no volatility spillover, not entirely confirming the in-sample evidence. Simple models using exponentially-weighted moving averages of past observations perform similarly to the best bivariate model. Thus, some features required to obtain a good in-sample fit do not have additional out-of-sample forecasting power due to overfitting." @default.
- W3123303617 created "2021-02-01" @default.
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- W3123303617 date "2005-09-01" @default.
- W3123303617 modified "2023-09-25" @default.
- W3123303617 title "Forecasting the comovements of spot interest rates" @default.
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- W3123303617 doi "https://doi.org/10.1016/j.jimonfin.2005.04.004" @default.
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