Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
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Publication:5130203
DOI10.1080/02664763.2014.993363OpenAlexW1977175459MaRDI QIDQ5130203
Yasumasa Matsuda, Yoshihiko Tsukuda, Wali Ullah
Publication date: 4 November 2020
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664763.2014.993363
bond marketterm structure of interest ratesKalman filterforecastingstate-space modelEGARCHlatent factors model
Cites Work
- Forecasting the term structure of government bond yields
- Term structure models and the zero bound: an empirical investigation of Japanese yields
- The affine arbitrage-free class of Nelson-Siegel term structure models
- Interest Rate Dynamics and Consistent Forward Rate Curves
- An arbitrage‐free generalized Nelson–Siegel term structure model
- Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?
- Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?
- Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
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