Yield Curve Modeling and Forecasting-The Dynamic Nelson-Siegel Approach

被引：0

作者：

Rebonato, Riccardo ^{[1
]}

机构：

[1] Univ Oxford, Oxford OX1 2JD, England

来源：

QUANTITATIVE FINANCE | 2015年 / 15卷 / 10期

关键词：

D O I：

10.1080/14697688.2015.1005351

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：1609 / 1612

页数：4

共 50 条

[31] An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model
Lee, Sang-Heon
[J]. COMPUTATIONAL ECONOMICS, 2024,
[32] Modeling and Predictability of Exchange Rate Changes by the Extended Relative Nelson-Siegel Class of Models
Ishii, Hokuto
[J]. INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2018, 6 (03):
[33] ON THE NELSON-SIEGEL-SVENSSON NO-ARBITRAGE YIELD CURVE MODELS
Medvedev, G. A.
[J]. VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE, 2015, 32 (03): : 44 - 55
[34] ESTIMATING CHILE'S NOMINAL INTEREST RATE STRUCTURE: AN APPLICATION OF THE DYNAMIC NELSON-SIEGEL MODEL
Alfaro A, Rodrigo
Becerra C, Sebastian
Sagner T, Andres
[J]. ECONOMIA CHILENA, 2011, 14 (03): : 57 - +
[35] Yield curve modeling and forecasting
Krippner, Leo
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2014, 29 : 661 - 662
[36] A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
Opschoor, Daan
van der Wel, Michel
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2024,
[37] The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps
Shaw, Frances
Murphy, Finbarr
O'Brien, Fergal
[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2014, 30 : 348 - 368
[38] US and Chinese yield curve responses to RMB exchange rate policy shocks An analysis with the arbitrage-free Nelson-Siegel term structure model
Hong, Zhiwu
Niu, Linlin
Zeng, Gengming
[J]. CHINA FINANCE REVIEW INTERNATIONAL, 2019, 9 (03) : 360 - 385
[39] A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates
Pedersen, Hal
Swanson, Norman R.
[J]. QUANTITATIVE FINANCE AND ECONOMICS, 2019, 3 (01): : 22 - 45
[40] FORECASTING THE YIELD CURVE WITH DYNAMIC FACTORS
Reschenhofer, Erhard
Stark, Thomas
[J]. ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2019, 22 (01): : 101 - 113

← 1 2 3 4 5 →