Skip to contents

Lee, Sang-Heon [Author]

Yield Curve Forecasting using Deep Learning Nelson-Siegel Model

View online
Schließen

Access

https://ssrn.com/abstract=4447541

Full access (via DOI)

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

[S.l.]: SSRN, [2023]
Malinska, Barbora [Author]; Barunik, Jozef [Author]

Volatility term structure modeling using Nelson-Siegel model

View online
Schließen

Links

http://hdl.handle.net/10419/203202

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Prague: Charles University in Prague, Institute of Economic Studies (IES), 2018
Caldeira, João F. [Author]; Moura, Guilherme V. [Author]; Santos, André A. P. [Author]; Tourrucôo, Fabricio [Author]

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

View online
Schließen

Access

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam: Elsevier, 2016
Mashoene, Mmakganya [Author]; Doorasamy, Mishelle [Author]; Rajaram, Rajendra [Author]

The application of different term-structure models to estimate South African real spot rate curve

View online
Schließen

Access

Full access (via DOI)

http://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/1278/944

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

2021

Published in: International journal of finance & banking studies ; 10(2021), 3 vom: Juli, Seite 21-36
Caldeira, João [Author]; Cordeiro, Werley [Author]; Ruiz, Esther [Author]; A. P. Santos, Andre [Author]

Forecasting the Yield Curve : The Role of Additional and Time-Varying Decay Parameters, Conditional Heteroscedasticity, and Macro-Economic Factors

View online
Schließen

Access

Full access (via DOI)

https://ssrn.com/abstract=4527284

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

[S.l.]: SSRN, [2023]
Caldeira, João F. [Author]; Cordeiro, Werley C. [Author]; Ruiz, Esther [Author]; Santos, André A. P. [Author]

Forecasting the yield curve: the role of additional and timevarying decay parameters, conditional heteroscedasticity, and macro-economic factors

View online
Schließen

Access

https://www.bayes.city.ac.uk/__data/assets/pdf_file/0011/755804/16ff3557955fdffd5e39ab57e00f47151494a8c5.pdf

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

London: Centre for Econometric Analysis, Bayes Business School, [2023]

Published in: CEA_372Bayes working paper series ; 2023,7
Cross, Jamie [Author]; Poon, Aubrey [Author]; Zhu, Dan [Author]

Uncertainty and the term structure of interest rates

View online
Schließen

Access

https://biopen.bi.no/bi-xmlui/bitstream/handle/11250/3096684/CAMP_WP_12_2023.pdf?sequence=1&isAllowed=y

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Oslo: BI Norwegian Business School, Centre for Applied Macro-Petroleum economics (CAMP), 2023

Published in: CAMP working paper series ; 2023,12
Brignone, Riccardo [Author]; Gerhart, Christoph [Author]; Lütkebohmert, Eva [Author]

Arbitrage-free Nelson-Siegel model for multiple yield curves

View online
Schließen

Access

Full access (via DOI)

https://link.springer.com/content/pdf/10.1007/s11579-021-00308-y.pdf

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

2022

Published in: Mathematics and financial economics ; 16(2022), 2 vom: Apr., Seite 239-266
Shiratsuka, Shigenori [Author]

Monetary policy effectiveness under the ultra-low interest rate environment : evidence from yield curve dynamics in Japan

View online
Schließen

Access

https://ies.keio.ac.jp/upload/DP2021-012_EN.pdf

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Tokyo, Japan: Institute for Economic Studies, Keio University, 12 June, 2021

Published in: KEIO-IES discussion paper series ; 2021,12
Brignone, Riccardo [Author]; Gerhart, Christoph [Author]; Lütkebohmert, Eva [Author]

Arbitrage-free Nelson–Siegel model for multiple yield curves

View online
Schließen

Access

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Berlin, Heidelberg: Springer, 2021
Laurini, Márcio Poletti [Author]; Neto, Armênio Westin [Author]

Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach

View online
Schließen

Access

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Ankara: Econometric Research Association (ERA), 2014
Opschoor, Daan [Author]; Wel, Michel van der [Author]

A smooth shadow-rate dynamic Nelson-Siegel Model for yields at the zero lower bound

View online
Schließen

Access

https://papers.tinbergen.nl/22011.pdf

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam, The Netherlands: Tinbergen Institute, [2022]

Published in: Tinbergen Institute: Discussion paper ; 2022,11
Opschoor, Daan [Author]; van der Wel, Michel [Author]

A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound

View online
Schließen

Access

https://ssrn.com/abstract=4025299

Full access (via DOI)

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

[S.l.]: SSRN, [2022]

Published in: Tinbergen Institute Discussion Paper 2022-011/III
Nyholm, Ken [Author]

A rotated Dynamic Nelson-Siegel model with macro-financial applications

View online
Schließen

Links

http://hdl.handle.net/10419/154284

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Frankfurt a. M.: European Central Bank (ECB), 2015
Baruník, Jozef [Author]; Malinská, Barbora [Author]

Forecasting the term structure of crude oil futures prices with neural networks

View online
Schließen

Links

http://hdl.handle.net/10419/146381

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Prague: Charles University in Prague, Institute of Economic Studies (IES), 2015
Mesters, Geert [Author]; Schwaab, Bernd [Author]; Koopman, Siem Jan [Author]

A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area

View online
Schließen

Links

http://hdl.handle.net/10419/98858

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam and Rotterdam: Tinbergen Institute, 2014
Šopov, Boril [Author]; Seidler, Jakub [Author]

Yield curve dynamics: Regional common factor model

View online
Schließen

Links

http://hdl.handle.net/10419/83414

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Prague: Charles University in Prague, Institute of Economic Studies (IES), 2010
Raviv, Eran [Author]

Prediction Bias Correction for Dynamic Term Structure Models

View online
Schließen

Links

http://hdl.handle.net/10419/87460

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam and Rotterdam: Tinbergen Institute, 2013
Opschoor, Daan [Author]; van der Wel, Michel [Author]

A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound

View online
Schließen

Links

http://hdl.handle.net/10419/263931

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam and Rotterdam: Tinbergen Institute, 2022
Rudebusch, Glenn D. [Author]; Diebold, Francis X. [Author]

Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach

View online
Schließen

Access

https://www.degruyter.com/isbn/9781400845415

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Princeton, N.J.: Princeton University Press, 2013 ; 2013

Published in: The Econometric and Tinbergen Institutes Lectures

You did not find what you were looking for?

Purchase suggestion
Are you missing something you need for your research? If you have any suggestions please share them here.

Interlibrary Loan
Please search and order your favorite title in the Interlibrary Loan Portal.

Search in field:

Recently searched for:

You did not find what you were looking for?

> Year of publication

Year of publication