Prediction bias correction for dynamic term structure models
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Cites work
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Forecasting the term structure of government bond yields
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Pricing interest-rate-derivative securities
- Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach
Cited in
(6)- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- Forecasting the yield curve using a dynamic natural cubic spline model
- Adaptive dynamic Nelson-Siegel term structure model with applications
- Bias correction for time series factor models
- Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?
- Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
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