Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?

DOI10.1002/for.1239zbMath1397.62349MaRDI QIDQ4687287

Ken Nyholm, Rositsa Vidova-Koleva

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/153639

zbMATH Keywords

term structure models; statistical tests; variants; forecast performance

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

91B82: Statistical methods; economic indices and measures

65Y20: Complexity and performance of numerical algorithms