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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... -
INFORMATION IN THE YIELD CURVE: A MACRO-FINANCE APPROACH (replication data)
We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques,...
