Forecasting the term structure of government bond yields
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Cites work
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Cited in
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- A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies
- Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
- Estimating VAR models for the term structure of interest rates
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- Pension scheme redesign and wealth redistribution between the members and sponsor: the USS rule change in October 2011
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- Optimal bond portfolios with fixed time to maturity
- Financial planning for Young households
- Empirical analysis and forecasting of multiple yield curves
- Affine Nelson-Siegel model
- The effects of conventional and unconventional monetary policy on forecasting the yield curve
- Comparison of non-linear optimization algorithms for yield curve estimation
- Return seasonalities in government bonds and macroeconomic risk
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Optimal retirement planning with a focus on single and joint life annuities
- Cohort and value-based multi-country longevity risk management
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- Intelligible factors for the yield curve
- Do interest rate options contain information about excess returns?
- How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model
- The stochastic string model as a unifying theory of the term structure of interest rates
- Monetary policy and the term structure of inflation expectations with information frictions
- Analysis of multifactor affine yield curve models
- Government spending and heterogeneous consumption dynamics
- A nonparametric estimator for the covariance function of functional data
- Term structure of interest rates estimation using rational Chebyshev functions
- Term structure forecasting: no-arbitrage restrictions versus large information set
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- A Bayesian approach to term structure modeling using heavy-tailed distributions
- Segmental dynamic factor analysis for time series of curves
- Scenario generation for long run interest rate risk assessment
- Curve forecasting by functional autoregression
- Convolutional autoregressive models for functional time series
- Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts?
- Forecasting the term structure when short-term rates are near zero
- A differential evolution algorithm for yield curve estimation
- Forecasting the yield curve using a dynamic natural cubic spline model
- Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
- A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
- The yield curve and the macro-economy across time and frequencies
- A noisy principal component analysis for forward rate curves
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- Functional dynamic factor models with application to yield curve forecasting
- Prediction bias correction for dynamic term structure models
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- An arbitrage‐free generalized Nelson–Siegel term structure model
- Approximately normal tests for equal predictive accuracy in nested models
- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
- A note on influence diagnostics in AR(1) time series models
- The macroeconomy and the yield curve: a dynamic latent factor approach
- What does the yield curve tell us about GDP growth?
- A genetic algorithm estimation of the term structure of interest rates
- Predicting the yield curve using forecast combinations
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
- The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises
- Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
- Modeling the risk in mortality projections
- The affine arbitrage-free class of Nelson-Siegel term structure models
- Robust forecasting of multiple yield curves
- Interest rate prediction: a neuro-hybrid approach with data preprocessing
- Consistent curves in the -world: optimal bonds portfolio
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- State-Varying Factor Models of Large Dimensions
- Term Structures of Inflation Expectations and Real Interest Rates
- Simulation and evaluation of the distribution of interest rate risk
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- scientific article; zbMATH DE number 7339180 (Why is no real title available?)
- Term structure forecasting in affine framework with time-varying volatility
- Yield curves from different bond data sets
- A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates
- Arbitrage-free Nelson-Siegel model for multiple yield curves
- Optimal investment for a retirement plan with deferred annuities
- Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
- Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis
- Forecasting the 10-year US Treasury rate
- Heuristic optimisation in financial modelling
- Modeling Nelson-Siegel yield curve using Bayesian approach
- Functional Autoregression for Sparsely Sampled Data
- Uncertainty in functional principal component analysis
- Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
- Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
- Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
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- Sparse-group independent component analysis with application to yield curves prediction
- Fitting dynamically consistent forward rate curves: algorithm and comparison
- Effects of US quantitative easing on emerging market economies
- Revisiting the fitting of the Nelson–Siegel and Svensson models
- Stationary and nonstationary behaviour of the term structure: a nonparametric characterization
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