involves maximizing the R2 statistic in an OLS regression, following the Nelson-Siegel approach. The median decay parameters …

. Using the Nelson-Siegel model, we examine the influence of the factors of the yield curve, the level, the slope and the …

, including Nearest-Neighbor, spline, and Nelson-Siegel interpolation. Using the new methodology, we construct the full history of …

, including Nearest-Neighbor, spline, and Nelson-Siegel interpolation. Using the new methodology, we construct the full history of …

Nelson-Siegel model, which effectively captures the three dimensions of the yield curve. To forecast the factors, we applied … assess the comparative forecast accuracy. We found that Nelson-Siegel factors had significant predictive power for one …, neither the AR(1) nor VAR(1) models based on Nelson-Siegel factors outperformed the benchmarks. These results suggest that the …

models derived from Nelson and Siegel (1987). We expand this set of models by considering local regression (Loess) and two … outliers. Among the Nelson-Siegel family models, the more parametrised versions have no clear advantage regarding goodness …