Multiperiod Forecasts of Interest Rates
考察不同预测期和时间段内利率预测的准确性，发现绝对准确性随预测期延长而下降，但相对准确性不变，且利率波动期准确性降低。
Abstract The accuracy of forecasts of interest rates over different forecast horizons and time periods is examined. The results indicate a deterioration in "absolute" forecast accuracy measured by the mean absolute error and the root mean squared error but no decrease in "relative" accuracy measured by the Theil coefficient with an increase in the forecast span. The results also indicate a decline in accuracy in periods of volatile interest rates. Support is found for the hypothesis that the ratio of the variability of predicted changes to that of actual changes falls with an increase in the forecast horizon. KEY WORDS: Forecast horizonForecast accuracyStekler's hypothesis