Exterkate, P.

factor forecast method kernel model variable forecasting regression number table result kernel ridge regression parameter macro function 0 l 1 predictor macro factors value error ridge component maturity month prediction series information tukey curve diebold 0 tukey matrix group estimate equation journal section criterion figure study forecast accuracy procedure 0.952 observation horizon yield column plsmb nelson –siegel model performance application 0 l 2 accuracy multivariate structure vector period 0.5 prediction errors analysis interest fi rst 2.0 1.0 report stock point gaussian interest rates nonlinear cross-validation simulation statistic selection nelson time series macro variables kernel simulation study estimation price