Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - In: Journal of Econometrics 146 (2008) 2, pp. 351-363
The popular Nelson-Siegel [Nelson, C.R., Siegel, A.F., 1987. Parsimonious modeling of yield curves. Journal of Business 60, 473-489] yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold-Li [Diebold, F.X., Li, C., 2006. Forecasting the term structure of...
