Forecasting Latin-American Yield Curves: An Artificial Neural Network Approach

Número: 
761
Publicado: 
Clasificación JEL: 
C32, C45, E43, G17
Palabras clave: 
Term structure of interest rates, Nelson & Siegel, Svensson, out-of-sample forecast

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