Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
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- Shin, Minchul & Zhong, Molin, 2017.
"Does realized volatility help bond yield density prediction?,"
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- repec:taf:nzecpp:v:50:y:2016:i:3:p:343-361 is not listed on IDEAS
- Michelle Lewis & C. John McDermott, 2016.
"New Zealand's experience with changing its inflation target and the impact on inflation expectations,"
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More about this item
Keywordsyield curve; modeling; forecasting; dynamic; Nelson-Siegel; pricing financial assets; managing financial risk; allocating portfolios; fiscal debt; monetary policy; valuing capital goods; yield curve models; Nelson; Siegel; DNS; AFNS; arbitrage-free; efficient-market; Econometric Lectures; Tinbergen Institute;
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