Calibrating the Nelson–Siegel–Svensson model
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References listed on IDEAS
- Lars E.O. Svensson, 1994.
"Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994,"
NBER Working Papers
4871, National Bureau of Economic Research, Inc.
- Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
- Lars E. O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates; Sweden 1992-1994," IMF Working Papers 94/114, International Monetary Fund.
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- Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013. "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper 61862, University Library of Munich, Germany.
- Virmani, Vineet, 2013. "On the Choice of Optimization Routine in Estimation of Parsimonious Term Structure Models: Results from the Svensson Model," IIMA Working Papers WP2013-01-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2015. "Forecasting the yield curve: art or science?," MPRA Paper 61917, University Library of Munich, Germany.
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
- Francisco Ibáñez, 2016. "Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach," Working Papers Central Bank of Chile 774, Central Bank of Chile.
- Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
- Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
- Ibanez, Francisco, 2015. "Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach," MPRA Paper 68377, University Library of Munich, Germany.
- Michał Brzoza-Brzezina & Jacek Kotłowski, 2014. "Measuring the natural yield curve," Applied Economics, Taylor & Francis Journals, vol. 46(17), pages 2052-2065, June.
- Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2016.
"A consistent two-factor model for pricing temperature derivatives,"
Elsevier, vol. 55(C), pages 112-126.
- Andreas Groll & Brenda LÃ³pez-Cabrera & Thilo Meyer-Brandis, 2014. "A consistent two-factor model for pricing temperature derivatives," SFB 649 Discussion Papers SFB649DP2014-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Francisco Rivadeneyra, 2012. "The U.S.-Dollar Supranational Zero-Coupon Curve," Discussion Papers 12-5, Bank of Canada.
- Dang-Nguyen, Stéphane & Le Caillec, Jean-Marc & Hillion, Alain, 2014. "The deterministic shift extension and the affine dynamic Nelson–Siegel model," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 402-417.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-11 (All new papers)
- NEP-CBA-2010-04-11 (Central Banking)
- NEP-CMP-2010-04-11 (Computational Economics)
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