D'Amico, Stefania; Kim, Don H.; Wei, Min - 2008
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section of the nominal yield curve well, resulting in sizable fitting errors and making it difficult
to discuss actual market … to interpret the yield curve movements macroeconomically, in view of the fact that so
little is empirically established …-ahead bias.36
T-bill yields to obtain a preliminary estimate of the parameters underlying the nominal yield curve model. From …