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

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

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...

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Main Authors:	De Lara-Tuprio, Elvira P, Bataller, Ramil T, Torres, Allen Dominique D, Cabral, Emmanuel A, Fernandez, Proceso L, Jr
格式:	text
出版:	Archīum Ateneo 2017
主題:	Yield curve Nelson-Siegel forecasting copula time series Mathematics
在線閱讀:	https://archium.ateneo.edu/mathematics-faculty-pubs/5 https://ejournals.ph/article.php?id=11592
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

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