van Dijk, Dick; Groenen, Patrick; Exterkate, Exterkate, P. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
Various ways of extracting macroeconomic information from a data-rich environment are compared with the objective of forecasting yield curves using the Nelson-Siegel model. Five issues in factor extraction are addressed, namely, selection of a subset of the available information, incorporation...