Search Results - subject:"Dynamic Nelson–Siegel model"

The effects of conventional and unconventional monetary policy on forecasting the yield curve

Eo, Yunjong; Kang, Kyu Ho - In: Journal of economic dynamics & control 111 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012501422

A rotated Dynamic Nelson-Siegel model with macro-financial applications

Nyholm, Ken - 2015

A factor rotation scheme is applied to the well-known Dynamic Nelson-Siegel model facilitating direct parametrization …

Persistent link: https://www.econbiz.de/10011605896

Forecasting the yield curve: art or science?

Molenaars, Tomas K.; Reinerink, Nick H.; Hemminga, Marcus A. - Volkswirtschaftliche Fakultät, … - 2015

The objective of our work is to analyze the forecast performance of the dynamic Nelson-Siegel yield curve model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of US bond yield data that covers a large timespan from November 1971 to December 2008. As a...

Persistent link: https://www.econbiz.de/10011249366

Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008

Molenaars, Tomas K.; Reinerink, Nick H.; Hemminga, Marcus A. - Volkswirtschaftliche Fakultät, … - 2013

methods. By using this parameter, we analyze the performance of the dynamic Nelson-Siegel model and, for comparison, the first … complicated dynamic Nelson-Siegel model over a simple AR(1) model. …

Persistent link: https://www.econbiz.de/10011157007

Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets

Sowmya, Subramaniam; Prasanna, Krishna - In: International review of economics & finance : IREF 54 (2018), pp. 178-192

Persistent link: https://www.econbiz.de/10012033374

Forecasting the term structure of South African government bond yields

Shu, Hui-chu; Chang, Jung-Hsien; Lo, Ting-Ya - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 41-53

Persistent link: https://www.econbiz.de/10012122847

Inter-dependencies among Asian bond markets

Subramaniam, Sowmya; Prasanna, Krishna P. - In: Studies in Economics and Finance 34 (2017) 4, pp. 485-505

nine Asian economies. Design/methodology/approach The dynamic Nelson Siegel model was used to extract the latent factors of …

Persistent link: https://www.econbiz.de/10015014216

Does realized volatility help bond yield density prediction?

Shin, Minchul; Zhong, Molin - In: International journal of forecasting 33 (2017) 2, pp. 373-389

Persistent link: https://www.econbiz.de/10011922068

Yield curve in India and its interactions with the US bond market

Prasanna, Krishna; Sowmya, Subramaniam - In: International economics and economic policy : IEEP 14 (2017) 2, pp. 353-375

Persistent link: https://www.econbiz.de/10011877913

Inter-dependencies among Asian bond markets

Subramaniam, Sowmya; Prasanna, Krishna P. - In: Studies in economics and finance 34 (2017) 4, pp. 485-505

Persistent link: https://www.econbiz.de/10011961096