Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts? (Q5130203)
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scientific article; zbMATH DE number 7269591
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts? |
scientific article; zbMATH DE number 7269591 |
Statements
Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts? (English)
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4 November 2020
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term structure of interest rates
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latent factors model
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state-space model
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Kalman filter
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EGARCH
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forecasting
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bond market
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