Forecasting the term structure of government bond yields

DOI10.1016/j.jeconom.2005.03.005zbMath1337.62324OpenAlexW3124477952MaRDI QIDQ94953

Francis X. Diebold, Canlin Li, Canlin Li, Francis X. Diebold

Publication date: February 2006

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

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.12.1899

zbMATH Keywords

term structure yield curve factor model Nelson-Siegel curve

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

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