Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance-Reference-Cited by-同舟云学术

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Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance

Published:2007 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

De Pooter Michiel

Publisher

Elsevier BV

Reference42 articles.

1. Zero-Coupon Yield Curves: Technical Documentation, Bank for International Settlements;BIS,2005

2. Interest Rate Dynamics and Consistent Forward Rate Curves;T Bj�rk;Mathematical Finance,1999

3. Some exotic options

4. Yield Curve Modelling at the Bank of Canada

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