Economics Research Group IBMEC Business School – Rio de Janeiro http://professores.ibmecrj.br/erg IBMEC RJ ECONOMICS DISCUSSION PAPER 2011-01 Full series available at http://professores.ibmecrj.br/erg/dp/dp.htm. FORECASTING THE TERM STRUCTURE OF INTEREST RATES USING INTEGRATED NESTED LAPLACE APPROXIMATIONS Márcio Poletti Laurini Luiz Koodi Hotta