Estimating and forecasting the yield curve using a Markov switching dynamic Nelson and Siegel model
Year of publication: |
September/October 2015
|
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Authors: | Hevia, Constantino ; González Rozada, Martín ; Sola, Martin ; Spagnolo, Fabio |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 30.2015, 6, p. 987-1009
|
Subject: | Nelson-Siegel model | Öffentliche Anleihe | Public bond | Zinsstruktur | Yield curve | Schätzung | Estimation | USA | United States | 1972-2000 |
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