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DCOBS: forecasting the term structure of interest rates with dynamic constrained smoothing B-Splines
Autor:
Mineo, Eduardo Phillipe
The Nelson-Siegel framework published by Diebold and Li a decade ago created an important benchmark and originated several works in the literature of forecasting term structure of interest rates. For instance, the Arbitrage-Free Nelson-Siegel framewo
DCOBS: forecasting the term structure of interest rates with dynamic constrained smoothing B-Splines
Autor:
Eduardo Phillipe Mineo
Publikováno v:
Biblioteca Digital de Teses e Dissertações da USPUniversidade de São PauloUSP.
The Nelson-Siegel framework published by Diebold and Li a decade ago created an important benchmark and originated several works in the literature of forecasting term structure of interest rates. For instance, the Arbitrage-Free Nelson-Siegel framewo
