Modena, Matteo (contributor) - 2008
term structure model which to investigate the dynamic relationships between yields and
macroeconomic variables. The … Nelson-Siegel (henceforth NS) and the traditional affine term
structure model3 provide useful econometric support to capture … affine term structure model (Dai and Singleton,
2000), we do not restrict the transition matrix ( glyph817SΦ ) to be lower …