A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
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Publication:2338512
DOI10.1016/j.jedc.2019.103720zbMath1425.91414OpenAlexW2962825836MaRDI QIDQ2338512
Fausto Vieira, Marcelo Fernandes
Publication date: 21 November 2019
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103720
Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; economic indices and measures (91B82)
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Cites Work
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