Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach

DOI10.1002/FOR.1256zbMath1397.62409OpenAlexW2324055780MaRDI QIDQ4687315

Mauro S. Ferreira, Rafael B. de Rezende

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1256

zbMATH Keywords

out-of-sample forecastsin-sample fitting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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