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Inferência Bayesiana Aplicada ao Modelo Dinâmico de Nelson-Siegel com Volatilidade Estocástica nos Fatores [PDF]

, 2010
Caldeira, João F., Laurini, Márcio P., Portugal, Marcelo S.   +2 more
openaire  

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Forecasting the yield curve with the arbitrage-free dynamic Nelson–Siegel model: Brazilian evidence

Economia, 2016
João F Caldeira, Guilherme V Moura, André A P Santos   +2 more
exaly  

Research on RMB exchange rate forecast based on the neural network model and the Nelson–Siegel model

Risk Management, 2020
Wenzhe Hu
exaly  

Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models

International Journal of Forecasting, 2011
Wei-Choun Yu, Eric Zivot
exaly  

Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach

Journal of Forecasting, 2013
Rafael B De Rezende
exaly  

Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?

Journal of Forecasting, 2012
Ken Nyholm
exaly  

On estimability of parsimonious term structure models: an experiment with the Nelson–Siegel specification

Applied Economics Letters, 2012
Vineet Virmani
exaly  

A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models

Applied Mathematical Finance, 2006
Leo Krippner
exaly  

The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps

Research in International Business and Finance, 2014
Finbarr Murphy, Fergal O'Brien
exaly  

Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model

Journal of Forecasting, 2013
Dick Van Dijk, Patrick J F Groenen
exaly