... 1-year and 1-month yields and the curvature is defined as twice the 3-months yield minus the sum of the 1-month and 1-year yields. We present sample autocorrelations for 1,12 and 24 months.14Factor ... 1,3,6 and 12-months out -of sample forecasts fordifferent maturities. We compare the performance of the random walk, Diebold-Li (DL), Affine model and Diebold-Li with variable λ.171-month 3-months ... Vicente and Benjamin M. TabakAugust, 2007 Working Paper Series0%5%10%15%20%25%30%May-96 Nov-96 May-97 Nov-97 May-98 Nov-98 May-99 Nov-99 May-00 Nov-00Figure 1: 1, 2, 3, 6 and 12-months...