1. What is perhaps slightly novel in this work is that an extension of the Diebold and Li (2003) approach to other basis functions also does quite well. In particular, the generalization to orthogonalized exponentials in the form of the exponential-spline model does as well, and occasionally better, than the NelsonSiegel model;These conclusions are not terribly surprising in the case of the Nelson-Siegel model,2003
2. Quadratic Term-Structure Models: Theory and Evidence;D H Ahn;Review of Financial Studies,2002
3. A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables;A Ang;Journal of Monetary Economics,2003
4. Predictable Changes in Yields and Forward Rates;D Backus;Journal of Financial Economics,2001
5. Yield Curve Prediction for Strategic Investors;C Bernadell;European Central Bank Working Paper,2005