Nearest-neighbor forecast of U.S. interest rates

• Main Authors: Barkoulas, John, Baum, Christopher F., Chakraborty, Atreya
• Format: Article
• Language: English
• Published: Universiti Utara Malaysia 2003
• Subjects: HG Finance
• Online Access: http://repo.uum.edu.my/334/1/John_Barkoulas.pdf; http://repo.uum.edu.my/334/
• Institution: Universiti Utara Malaysia

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...