Adaptive dynamic Nelson-Siegel term structure model with applications

DOI10.1016/J.JECONOM.2014.02.009zbMath1298.62179OpenAlexW3121150054MaRDI QIDQ469578

Ying Chen, Linlin Niu

Publication date: 11 November 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.02.009

zbMATH Keywords

term structure of interest ratesforecastingyield curvelocal parametric models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

KPSS test for functional time series ⋮ Sparse-group independent component analysis with application to yield curves prediction ⋮ Modeling Nelson–Siegel Yield Curve Using Bayesian Approach

Cites Work

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• Localized Realized Volatility Modeling
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Long memory and regime switching

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