Forecasting US yield curve using the dynamic Nelson-Siegel model with random level shift parameters
Deqing Luo, Tao Pang, Jiawen Xu
| Year of publication: |
2021
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|---|---|
| Authors: | Luo, Deqing ; Pang, Tao ; Xu, Jiawen |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 94.2021, p. 340-350
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| Subject: | Dynamic Nelson-Siegel model | Forecasting | Random level shift (RLS) | US treasury yield curves | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Dynamische Wirtschaftstheorie | Economic dynamics | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2020.10.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012695028