Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model
Year of publication: |
2010-02-23
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Authors: | van Dijk, Dick ; Groenen, Patrick ; Exterkate, Exterkate, P. ; Heij, Heij, C. |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | Nelson-Siegel model | factor extraction | variable selection | yield curve prediction |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2010-06 |
Source: |
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Exterkate, P., (2010)
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Magnus, Jan R., (2013)
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