The arbitrage-free generalized Nelson-Siegel term structure model : does a good in-sample fit imply better out-of-sample forecasts?
Year of publication: |
2020
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Authors: | Ullah, Wali |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 59.2020, 3, p. 1243-1284
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Subject: | Term structure of interest rates | Arbitrage-free | Forecasting | Kalman filter | Theorie | Theory | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Arbitrage Pricing | Arbitrage pricing | Zentralbank | Central bank | Zustandsraummodell | State space model | Schätzung | Estimation |
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