Some Remarks on the Nelson–Siegel Model

DOI10.1007/978-3-030-47756-1_18zbMath1444.62157OpenAlexW3036743978MaRDI QIDQ3300638

Lajos Horváth

Publication date: 29 July 2020

Published in: Functional and High-Dimensional Statistics and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-47756-1_18

zbMATH Keywords

functional data analysisNelson-Siegel model

Mathematics Subject Classification ID

Functional data analysis (62R10) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

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• The macroeconomy and the yield curve: a dynamic latent factor approach
• Inference for functional data with applications
• An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Functional regression with repeated eigenvalues
• Asymptotic properties of principal component projections with repeated eigenvalues
• A Note on the Nelson-Siegel Family
• TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES

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