Diebold, Francis X.; Ji, Lei; Li, Canlin - Department of Economics, University of Pennsylvania - 2006
We assess and apply the term-structure model introduced by Nelson and Siegel (1987) and re-interpreted by Diebold and … Li (2003) as a modern three-factor model of level, slope and curvature. First, we ask whether the model is a member of … structure models in no way implies that our model will forecast poorly, which is consistent with Diebold and Li's (2003) finding …