The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00181-019-01710-8.pdf
Reference27 articles.
1. Ang A, Piazzesi M (2003) A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. J Monetary Econ 50(4):745–787
2. Bjork T, Christensen BJ (1999) Interest rate dynamics and consistent forward rate curves. Math Finance 9:323–348
3. Bliss RR (1997) Testing term structure estimation methods. Adv Futures Opt Res 9:197–231
4. Christensen JHE (2015) A regime-switching model of the yield curve at the zero bound. Federal Reserve Bank of San Francisco Working Paper 2013-34. http://www.frbsf.org/economic-research/publications/working-papers/wp2013-34.pdf
5. Christensen JHE, Diebold FX, Rudebusch GD (2009) An arbitrage-free generalized Nelson–Siegel term structure model. Econ J 12:33–64
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