Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models: a quantile autoregression approach

DOI10.1002/FOR.1256zbMATH Open1397.62409OpenAlexW2324055780MaRDI QIDQ4687315FDOQ4687315

Authors: Rafael B. de Rezende, Mauro S. Ferreira 

Publication date: 11 October 2018

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

Full work available at URL: https://doi.org/10.1002/for.1256

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zbMATH Keywords

out-of-sample forecastsin-sample fitting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (5)

• A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
• Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model
• Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?
• Term structure forecasting in affine framework with time-varying volatility
• Multiple yield curve modeling and forecasting using deep learning

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