Ishii, Hokuto - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-35
In this paper, we examined and compared the forecast performances of the dynamic Nelson-Siegel (DNS), dynamic Nelson-Siegel-Svensson (DNSS), and arbitrage-free Nelson-Siegel (AFNS) models after the financial crisis period. The best model for the forecast performance is the DNSS model in the...