Diebold, Francis X.; Li, Canlin - Center for Financial Studies - 2004
model, Nelson-Siegel curve
1 The empirical literature that models yields as a cointegrated system, typically with one … interpretation, showing that the three coefficients in the Nelson-Siegel
curve may be interpreted as latent level, slope and … what we have called the “Nelson-Siegel curve”
is actually a different factorization than the one originally advocated by …