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Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach

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  • Rafael B. Rezende
  • Mauro S. Ferreira

Abstract

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Suggested Citation

  • Rafael B. Rezende & Mauro S. Ferreira, 2013. "Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(2), pages 111-123, March.
  • Handle: RePEc:wly:jforec:v:32:y:2013:i:2:p:111-123
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    Citations

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    Cited by:

    1. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 761, Banco de la Republica de Colombia.
    2. repec:eee:empfin:v:45:y:2018:i:c:p:243-268 is not listed on IDEAS
    3. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
    4. repec:gam:jijfss:v:6:y:2018:i:3:p:68-:d:161340 is not listed on IDEAS
    5. Lorenčič Eva, 2016. "Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve," Naše gospodarstvo/Our economy, Sciendo, vol. 62(2), pages 42-50, June.
    6. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," BORRADORES DE ECONOMIA 010502, BANCO DE LA REPÚBLICA.
    7. repec:gam:jijfss:v:7:y:2019:i:3:p:39-:d:246648 is not listed on IDEAS
    8. Makram El-Shagi & Lunan Jiang, 2019. "Efficient Dynamic Yield Curve Estimation in Emerging Financial Markets," CFDS Discussion Paper Series 2019/4, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    9. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    10. Julián Andrada-Félix & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez, 2015. "Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(2), pages 207-245, June.

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