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I am trying to use short rate models (e.g. Vasicek, CIR or Hull-White) to forecast next one or two months yield curve. In this context, is there a way that I can include some exogenous economic or market-related variables in these models? Have you seen any literature in this regard?

If no, do you know any other body of literature that deals with this issue?

Best, Hamed.

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