Diebold, Francis X. (contributor); Li, Canlin (contributor) - 2003
powerful advances in yield curve modeling in the last twenty years, comparatively
little attention has been paid to the key … practical problem of forecasting the yield curve. In this paper we
do so. We use neither the no-arbitrage approach, which … use variations on the Nelson-Siegel exponential components framework to model the entire
yield curve, period-by-period, as …