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Found 3 papers, 2 papers with code
Dimensionality Reduction and State Space Systems: Forecasting the US Treasury Yields Using Frequentist and Bayesian VARs
Then, I exploited the structure of the state-space model to forecast the Treasury yields and compared the forecast performance of each model using mean squared forecast error.
Forecasting the Leading Indicator of a Recession: The 10-Year minus 3-Month Treasury Yield Spread
In this research paper, I have applied various econometric time series and two machine learning models to forecast the daily data on the yield spread.
Reforming the State-Based Forward Guidance through Wage Growth Rate Threshold: Evidence from FRB/US Simulations
I examined the biases, measurement errors, and other limitations extant in the unemployment and the inflation rate in the Evans Rule.
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