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Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic N...
We estimate versions of the Nelson-Siegel model of the yield curve of US government bonds using a Markov switching latent variable model that allows for discrete changes in the... -
A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models (r...
Yield curve models within the popular Nelson-Siegel class are shown to arise from formal low-order Taylor approximations of the generic Gaussian affine term structure model....
