Some remarks on the Nelson-Siegel model

DOI10.1007/978-3-030-47756-1_18MaRDI QIDQ3300638zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

functional data analysisNelson-Siegel model

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(4)

• Some remarks on nevzorov's record model
• scientific article; zbMATH DE number 130923 (Why is no real title available?)
• Two variants of the first Nåsell-Hirsch model
• A lower bound on the renormalized Nelson model

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