The dynamic Nelson-Siegel (DNS) model and even the Svensson generalization of the model have trouble in fitting the short maturity yields and fail to grasp the characteristics of the Japanese government bonds (JGBs) yield curve, which is flat at the short end and have multiple inflection points....

This paper aims to provide a wavelet analysis for spatio-temporal data which are observed on irregularly spaced stations at discrete time points, where the spatial covariances show serious non-stationarity caused by local dependency. A specific example that is used for the demonstration is US...

This study examines the role of macroeconomic and stock market variables in the dynamic Nelson-Siegel framework with the purpose of fitting and forecasting the term structure of interest rate. We find that incorporating the macroeconomic indicators in yield curve model leads to a better...

This paper proposes a semiparametric estimator of the long-memory parameter to fit a fractional exponential (FEXP) model by a likelihood-based approach. We establish that our proposed estimator is more efficient than the FEXP estimator proposed independently by Moulines and Soulier (1999) and...

This paper considers analysis of nonstationary irregularly spaced data that may have multivariate observations. The nonstationarity we focus on here means a local dependency of parameters that describe covariance structures. Nonparametric and parametric ways to estimate the local dependency of...

Accurate modeling and precise estimation of the term structure of interest rate are of crucial importance in many areas of finance and macroeconomics as it is the most important factor in the capital market and probably the economy. This study compares the in-sample fit and out-of-sample...