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 middle and long periods. The AFNS is inferior to the DNS model for long-period forecasting …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and …, which adds a second slope factor to the three-factor Nelson-Siegel model, forecasts particularly well. Especially with a one … forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Hungary. To this end, we apply a Nelson-Siegel type dynamic yield curve model, where changes of the yield curve are driven by …

Recent studies documented a sufficient forecasting performance of shadow-rate models in the low yields environment … issue to reflect in the interest rate modeling since the Great Recession. Surprisingly, we discover that the relative …-finance interest rate models by financial market sentiment proxies further improves the forecasting performance. …

external parameters affecting risk. Therefore we apply dynamic features in risk measurement taking into account all Tanker …

models based on the work of Nelson/Siegel et al. apply a yield-based approach. This paper examines if a discount factor based …. Furthermore the findings are superior in market situations with a very twisted yield curve compared to the Nelson/Siegel model …

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary … process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields … the problem of forecasting the term structure of interest rates with the assumption that the yield curve is driven by …

-month interest rates is explored in an exercise of out-of-sample forecasting. This yield spread appears to contain …

-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …