Forecasting the yield curve with the arbitrage-free dynamic Nelson–Siegel model: Brazilian evidence
Author:
Funder
CNPq
Publisher
Elsevier BV
Subject
Economics, Econometrics and Finance (miscellaneous)
Reference38 articles.
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3. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables;Ang;J. Monet. Econ.,2003
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5. Interest rate dynamics and consistent forward rate curves;Björk;Math. Finance,1999
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