Forecasting US yield curve using the dynamic Nelson-Siegel model with random level shift parameters
Year of publication: |
2021
|
---|---|
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
|
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 |
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