Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model
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- Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013. "Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, April.
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Citations
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Cited by:
- Bräuning, Falk & Koopman, Siem Jan, 2014.
"Forecasting macroeconomic variables using collapsed dynamic factor analysis,"
International Journal of Forecasting,
Elsevier, vol. 30(3), pages 572-584.
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"A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US,"
Working Papers, Department of Economics
2016_31, University of São Paulo (FEA-USP).
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- Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014.
"Forecasting interest rates with shifting endpoints,"
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John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
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- Vieira, Fausto & Fernandes, Marcelo & Chague, Fernando, 2017.
"Forecasting the Brazilian yield curve using forward-looking variables,"
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- Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
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- Caio Almeida & Axel Simonsen & José Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
- Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
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- Lorenčič Eva, 2016. "Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve," Naše gospodarstvo/Our economy, De Gruyter Open, vol. 62(2), pages 42-50, June.
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More about this item
Keywords
Nelson-Siegel model; factor extraction; variable selection; yield curve prediction;NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2010-03-06 (Central Banking)
- NEP-FOR-2010-03-06 (Forecasting)
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