Estimating and forecasting the yield curve using a Markov switching dynamic Nelson and Siegel model
Constantino Hevia, Martin Gonzalez-Rozada, Martin Sola and Fabio Spagnolo
| Year of publication: |
September/October 2015
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|---|---|
| Authors: | Hevia, Constantino ; González Rozada, Martín ; Sola, Martin ; Spagnolo, Fabio |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 30.2015, 6, p. 987-1009
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| Subject: | Nelson-Siegel model | Öffentliche Anleihe | Public bond | Zinsstruktur | Yield curve | Schätzung | Estimation | USA | United States | 1972-2000 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1002/jae.2399 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011431680