. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it … unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient … extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful …

In this study we investigate the yield curve forecasting performance of Dynamic Nelson–Siegel Model (DNS), affine term … variables in forecasting the yield curve. We have reached numbers of important results: 1—Macroeconomic variables are very … useful in forecasting the yield curve. 2—The forecasting performances of the models depend on the period under review. 3 …

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 …

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 …