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Estimating the spot rate curve using the Nelson–Siegel model · Study

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ArticleEstimating the spot rate curve using the Nelson–Siegel model

Jan Annaert2013

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Articlegreen2013

Estimating the spot rate curve using the Nelson–Siegel model

Jan Annaert · Anouk G.P. Claes · Marc J.K. De Ceuster · Hairui Zhang

47 citations·0/0 files stored·International Review of Economics & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1987Parsimonious Modeling of Yield Curves 2003Forecasting the Term Structure of Government Bond Yields 1991Common Factors Affecting Bond Returns 1987The Information in Long-Maturity Forward Rates 1975THE TAX‐ADJUSTED YIELD CURVE 1971Measuring the Term Structure of Interest Rates 1994Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994 1982Term Structure Modeling Using Exponential Splines

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2007Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performancepreprint · 11 shared references 2013Yield Curve Modeling and Forecastingbook · 10 shared references 2007Examining the Nelson-Siegel Class of Term Structure Modelspreprint · 9 shared references 2002A comparison of yield curve estimation techniques using UK dataarticle · 8 shared references 2011Modeling and Forecasting the Yield Curve by an Extended Nelson-Siegel Class of Models: A Quantile Autoregression Approacharticle · 8 shared references 2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Modelspreprint · 7 shared references

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Year2013

Typearticle

Published2013-01-19

VenueInternational Review of Economics & Finance

ISSN-L1059-0560

Languageen

Citations47

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.iref.2013.01.005

openalex_workW174163236

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