Adaptive dynamic Nelson-Siegel term structure model with applications

Adaptive dynamic Nelson-Siegel term structure model with applications

10.1016/j.jeconom.2014.02.009

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Bibliographic Details
Main Authors: Chen, Y., Niu, L.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2016
Subjects:
Forecasting
Local parametric models
Term structure of interest rates
Yield curve
Online Access:http://scholarbank.nus.edu.sg/handle/10635/125046
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Institution: National University of Singapore
Description
Summary:10.1016/j.jeconom.2014.02.009

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