Forecasting the yield curve with the arbitrage-free dynamic Nelson--Siegel model:Brazilian evidence

Autor: João Frois Caldeira, Guilherme V. Moura, Fabricio Tourrucôo, André A. P. Santos

Publikováno v: Caldeira, J F, Moura, G V, Santos, A & Tourrucôo, F 2016, ' Forecasting the yield curve with the arbitrage-free dynamic Nelson--Siegel model : Brazilian evidence ', EconomiA, vol. 17, no. 2, pp. 221-237 . https://doi.org/10.1016/j.econ.2016.06.003
EconomiA, Vol 17, Iss 2, Pp 221-237 (2016)

We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Nelson–Siegel model helps obtaining more accurate forecasts of the term structure. For that purpose, we provide an empirical application based on a large pane

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::35e49cddb676ec2323d3d645a701e37e
https://hdl.handle.net/20.500.11820/6f753b0a-6f81-4124-8d7c-a708dbeab434