Forecasting the Term Structure of Philippine Interest Rates Using the Dynamic Nelson-Siegel Model

• Main Authors: Fernandez, Proceso L, Jr, De Lara-Tuprio, Elvira P, Bataller, Ramil T, Torres, Allen Dominique D, Cabral, Emmanuel A
• Format: text
• Published: Archīum Ateneo 2017
• Subjects: Yield curve; Nelson-Siegel; forecasting; copula; time series; Computer Sciences; Numerical Analysis and Computation; Numerical Analysis and Scientific Computing
• Online Access: https://archium.ateneo.edu/discs-faculty-pubs/70; https://ejournals.ph/article.php?id=11592
• Institution: Ateneo De Manila University

The three-factor Nelson-Siegel model is a widely used model for forecasting the term structure of interest rates. Several extensions have recently been proposed. Even for the original model, different methods of treating the parameters have been shown. Ultimately, what works best depends on the data...