Examining the Nelson-Siegel Class of Term Structure Models
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More about this item
Keywords
Term structure of interest rates; Nelson-Siegel; Svensson; Forecasting; State-space model;All these keywords.
JEL classification:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2007-06-23 (Financial Markets)
- NEP-MAC-2007-06-23 (Macroeconomics)
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