The 12 references with contexts in paper John Barkoulas, Christopher F. Baum, Atreya Chakraborty (1996) “Nearest-Neighbor Forecasts of U.S. Interest Rates” / RePEc:boc:bocoec:313

9
Cleveland, W. A. (1979), Robust locally weighted regression and smoothing scatterplots, Journal of the American Statistical Association, 74, 829-836.
Total in-text references: 1
  1. In-text reference with the coordinate start=5031
    Prefix
    Econometric Methodology We attempt to uncover nonlinear relationships in U.S. T-bill and bond yields using the nonparametric locally weighted regression (LWR) method. LWR is a nearest-neighbor estimation technique, first introduced by
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    Cleveland (1979) and
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    further developed by Cleveland and Devlin (1988), and Cleveland, Devlin, and Grosse (1988). It is a way of estimating a regression surface through a multivariate smoothing procedure, fitting a function of independent variables locally and in a moving-average manner.

19
Dothan, U. L. (1978), On the term structure of interest rates, Journal of Financial Economics, 6, 59-69.
Total in-text references: 1
  1. In-text reference with the coordinate start=1977
    Prefix
    Models of the term structure of interest rates fall into two categories: those based upon arbitrage arguments and those based on a general equilibrium formulation. In the former category, single-factor models of the term structure of interest rates have been proposed by
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    Merton (1973), Vasicek (1977), Dothan (1978),
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    Schaefer and Schwartz (1978), and many others. Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).

25
Hsieh, D. (1989), Testing for nonlinear dependence in daily foreign exchange rates, Journal of Business, 62, 329-368.
Total in-text references: 1
  1. In-text reference with the coordinate start=15220
    Prefix
    in linear models, extends to some nonlinear models but not to ARCH models. 4 The orders for the conditional variance equation are chosen on the basis of superior performance of diagnostic tests for serial correlation in the standardized and squared standardized residuals obtained from estimating the corresponding AR-ARCH models. 5 Using the BDS test,
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    Hsieh (1989)
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    found no evidence of in-mean nonlinearities in daily foreign exchange rates after properly specifying their conditional distributions and time variation in conditional volatility. However, using neural networks, Kuan and Liu (1995) provided statistically significant out of sample forecasting improvements over the random walk model for daily exchange rates. nonlinear struct

26
Hsieh, D. (1991), Chaos and Nonlinear Dynamics: Application to Financial Markets, Journal of Finance, 5, 1839-1877.
Total in-text references: 1
  1. In-text reference with the coordinate start=22943
    Prefix
    Since it appears that the dynamical behavior of US interest rates is very local in nature, letting the data determine the regression function pays dividends in terms of improvements in the forecasting accuracy of interest rate models. Although the LWR estimation method has failed to successfully predict stock returns
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    (Hsieh (1991), LeBaron (1988)) and
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    exchange rates (Diebold and Nason (1990), Meese and Rose (1990, 1991), Mizrach (1992)) it appears to be very useful in modeling conditional mean changes in interest rate series.9 In addition to nonlinearities in variances and possibly higher moments, significant nonlinearities in the mean clearly exist for U.

32
Langetieg, T., (1980), A Multivariate Model of the Term Structure, Journal of Finance, 35, 71-97.
Total in-text references: 1
  1. In-text reference with the coordinate start=2182
    Prefix
    In the former category, single-factor models of the term structure of interest rates have been proposed by Merton (1973), Vasicek (1977), Dothan (1978), Schaefer and Schwartz (1978), and many others. Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979),
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    Langetieg (1980),
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    Schaefer and Schwartz (1984), and Heath et al. (1992). Models representing a complete general equilibrium specification of the term structure have been put forth by Cox, Ingersoll and Ross (1985a,b), Longstaff and Schwartz (1992) and many others.

33
LeBaron, B., (1988), The Changing Structure of Stock Returns, Working Paper, University of Wisconsin.
Total in-text references: 2
  1. In-text reference with the coordinate start=12228
    Prefix
    the BDS test is consistent with some type of dependence in the data, which could result from a linear stochastic system, a nonlinear stochastic system, or a nonlinear deterministic system. Under the null hypothesis, the BDS test statistic asymptotically converges to a standard normal variate. However, Monte Carlo simulations by Brock, Hsieh, and LeBaron (1991) and Hsieh and
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    LeBaron (1988)
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    suggest that the asymptotic distribution is a poor approximation to the finite sample distribution when 2 We also applied the KPSS test (Kwiatkowski, Phillips, Schmidt, and Shin (1992)) in which the null hypothesis is stationarity.

  2. In-text reference with the coordinate start=22943
    Prefix
    Since it appears that the dynamical behavior of US interest rates is very local in nature, letting the data determine the regression function pays dividends in terms of improvements in the forecasting accuracy of interest rate models. Although the LWR estimation method has failed to successfully predict stock returns
    Exact
    (Hsieh (1991), LeBaron (1988)) and
    Suffix
    exchange rates (Diebold and Nason (1990), Meese and Rose (1990, 1991), Mizrach (1992)) it appears to be very useful in modeling conditional mean changes in interest rate series.9 In addition to nonlinearities in variances and possibly higher moments, significant nonlinearities in the mean clearly exist for U.

34
LeBaron, B., (1992), Forecast improvements using a volatility index, Journal of Applied Econometrics, 7, S137-S149.
Total in-text references: 1
  1. In-text reference with the coordinate start=23947
    Prefix
    Second, our positive results invite the use of alternative nonparametric methods to be employed as forecasting tools for U.S. interest rates. Finally, an obvious avenue of future research is to apply the LWR methodology to interest rate series from other industrial countries. 9
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    LeBaron (1992)
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    did provide some forecast improvements for stock returns and foreign exchange rates using the locally unweighted regression method with the level of volatility as the crucial element of conditioning information.

40
Merton, M. C. (1973), The theory of rational oprion pricing, Bell Journal of Economics and
Total in-text references: 1
  1. In-text reference with the coordinate start=1977
    Prefix
    Models of the term structure of interest rates fall into two categories: those based upon arbitrage arguments and those based on a general equilibrium formulation. In the former category, single-factor models of the term structure of interest rates have been proposed by
    Exact
    Merton (1973), Vasicek (1977), Dothan (1978),
    Suffix
    Schaefer and Schwartz (1978), and many others. Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).

42
Mizrach, B. (1992), Multivariate Nearest-neighbor Forecasts of EMS Exchange Rates, Journal of Applied Econometrics, 7, S151-S163.
Total in-text references: 1
  1. In-text reference with the coordinate start=23061
    Prefix
    Although the LWR estimation method has failed to successfully predict stock returns (Hsieh (1991), LeBaron (1988)) and exchange rates (Diebold and Nason (1990), Meese and Rose (1990, 1991),
    Exact
    Mizrach (1992))
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    it appears to be very useful in modeling conditional mean changes in interest rate series.9 In addition to nonlinearities in variances and possibly higher moments, significant nonlinearities in the mean clearly exist for U.

44
Phillips, P. C. B. (1987), Time Series Regression with a Unit Root, Econometrica, 55, 277-301.
Total in-text references: 1
  1. In-text reference with the coordinate start=10185
    Prefix
    As expected, yield changes for short maturities exhibit greater variability than those for longer maturities. We first investigate the low-frequency properties of the yield series. To do so, we apply the Phillips-Perron tests (PP)
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    (Phillips (1987),
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    Phillips and Perron (1988)) to both levels and first differences of our sample series, with results presented in Table 2. Inference is robust to the order of serial correlation allowed in the data.

49
Stone, C. J. (1977), Consistent non-parametric regression, Annals of Statistics, 5, 595-645.
Total in-text references: 1
  1. In-text reference with the coordinate start=6968
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    We also tried the tricube function, wit=1−u 3 () 3 , suggested by Cleveland, as well as locally unweighted regression but (3) proved slightly superior empirically. The value of the regression surface at x∗ is then computed as yˆ∗=ˆg∗x ()=∗x ′ˆ β, (4) where n 2    . (5) βˆ=arg min wt t=1 ∑ty−tx′β() 
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    Stone (1977)
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    addressed the issue of consistent estimation through regularity conditions on weights of the neighbors. Consistency of NN estimators (and therefore LWR) requires that the number of NNs used go to infinity with sample size, but at a slower rate, that is as n→∞,q→∞,but q n→0.

50
Vasicek, O. (1977), An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-188.
Total in-text references: 1
  1. In-text reference with the coordinate start=1977
    Prefix
    Models of the term structure of interest rates fall into two categories: those based upon arbitrage arguments and those based on a general equilibrium formulation. In the former category, single-factor models of the term structure of interest rates have been proposed by
    Exact
    Merton (1973), Vasicek (1977), Dothan (1978),
    Suffix
    Schaefer and Schwartz (1978), and many others. Multifactor term structure models have been proposed by Richard (1987), Brennan and Schwartz (1979), Langetieg (1980), Schaefer and Schwartz (1984), and Heath et al. (1992).