Ishii, Hokuto - In: International Journal of Financial Studies : open … 7 (2019) 3/39, 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...
