1. 18, 24, 30, 36, and 42 months for two different subsamples. First element on each cell refers to the subsample 1; second element refers to the subsample 2. A box around an element indicates the best competitor, apart the random walk, for a specific maturity;Table 10: RMSE relative to RW for 1-month ahead forecasts -subsamples This table presents the RMSE relative to random walk for 1-month ahead out-of-sample forecasts of yields with time to maturity of 1,2003
2. 18, 24, 30, 36, and 42 months for two different subsamples. First element on each cell refers to the subsample 1; second element refers to the subsample 2. A box around an element indicates the best competitor, apart the random walk, for a specific maturity;Table 11: RMSE relative to RW for 3-month ahead forecasts -subsamples This table presents the RMSE relative to random walk for 3-months ahead out-of-sample forecasts of yields with time to maturity of 1,2003
3. Quadratic Term Structure Models: Theory and Evidence
4. A Generalization of PCA for Non-Observable Term Structures;C I R Almeida;International Journal of Theoretical and Applied Finance,2003
5. The Role of No-arbitrage on Forecasting: Lessons from a Parametric Term Structure Model;C Almeida;Graduate School of Economics,2007