Recovering Yield Curves from Dynamic Term Structure Models with Time-Varying Factors
A dynamic version of the Nelson-Siegel-Svensson term structure model with time-varying factors is considered for predicting out-of-sample maturity yields. Simple linear interpolation cannot be applied to recover yields at the very short- and long- end of the term structure where data are often missi...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-08-01
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| Series: | Stats |
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| Online Access: | https://www.mdpi.com/2571-905X/3/3/20 |