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Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance
16 references·1 citing·32 second hop
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References

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  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
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  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1994Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994426 cited
  • 1999Interest Rate Dynamics and Consistent Forward Rate Curves

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  • 2010Intelligible factors for the yield curve18 cited