1. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge. [Downloadable!]
2. Philippe C. Besse, 2000. "Autoregressive Forecasting of Some Functional Climatic Variations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 27(4), pages 673-687. [Downloadable!] (restricted)
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   • Boivin, Jean & Ng, Serena, 2005. "Understanding and Comparing Factor-Based Forecasts," MPRA Paper 836, University Library of Munich, Germany. [Downloadable!]
   • Jean Boivin & Serena Ng, 2005. "Understanding and Comparing Factor-Based Forecasts," International Journal of Central Banking, International Journal of Central Banking, vol. 1(3), December. [Downloadable!]
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7. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February. [Downloadable!] (restricted)
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   • Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Francis X. Diebold & Canlin Li, 2004. "Forecasting the Term Structure of Government Bond Yields," CFS Working Paper Series 2004/09, Center for Financial Studies. [Downloadable!]
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   • Oliver Linton & Andrew Jeffrey & Thong Nguyen, 2001. "Flexible Term Structure Estimation: Which Method is Preferred?," FMG Discussion Papers dp385, Financial Markets Group. [Downloadable!] (restricted)
   • Andrew Mark Jeffrey & Oliver B. Linton, 2001. "Flexible Term Structure Estimation: Which Method Is Preferred?," Yale School of Management Working Papers ysm171, Yale School of Management. [Downloadable!]
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   • De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007. [Downloadable!]
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    • Koopman, S.J. & Shephard, N. & Doornik, J.A., 1998. "Statistical algorithms for models in state space using ssfpack 2.2," Discussion Paper 141, Tilburg University, Center for Economic Research. [Downloadable!]
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    • Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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20. Clive G. Bowsher, 2004. "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Papers 2004-W21, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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1. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," CREATES Research Papers 2009-39, School of Economics and Management, University of Aarhus. [Downloadable!]
   Other versions:
   • Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, . "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute. [Downloadable!]
2. Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," NBER Working Papers 14463, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An arbitrage-free generalized Nelson-Siegel term structure model," Working Paper Series 2008-07, Federal Reserve Bank of San Francisco. [Downloadable!]
   • Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," PIER Working Paper Archive 08-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]