Some remarks on the Nelson-Siegel model

DOI10.1007/978-3-030-47756-1_18zbMATH Open1444.62157OpenAlexW3036743978MaRDI QIDQ3300638FDOQ3300638

Authors: 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

Recommendations

• A note on the Nelson-Siegel family
• Affine Nelson-Siegel model
• Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
• A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
• Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates

zbMATH Keywords

functional data analysisNelson-Siegel model

Mathematics Subject Classification ID

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

Cites Work

• Inference for functional data with applications
• A note on the Nelson-Siegel family
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach
• The affine arbitrage-free class of Nelson-Siegel term structure models
• An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
• Testing equality of means when the observations are from functional time series
• Functional regression with repeated eigenvalues
• Asymptotic properties of principal component projections with repeated eigenvalues

Cited In (4)

• Some remarks on nevzorov's record model
• Title not available (Why is that?)
• Two variants of the first Nåsell-Hirsch model
• A lower bound on the renormalized Nelson model

This page was built for publication: Some remarks on the Nelson-Siegel model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3300638)