Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model (Q4687322)
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scientific article; zbMATH DE number 6951831
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| English | Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model |
scientific article; zbMATH DE number 6951831 |
Statements
Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model (English)
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11 October 2018
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factor extraction
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variable selection
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forecast accuracy
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0.8893435597419739
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0.8590242862701416
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0.8042033910751343
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0.7956763505935669
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