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Dynamic Nelson-Siegel
Francis X. Diebold and Glenn D. Rudebusch
in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691146805
- eISBN:
- 9781400845415
- Item type:
- chapter
- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691146805.003.0002
- Subject:
- Economics and Finance, History of Economic Thought
This chapter starts with static in the cross section, then proceeds quickly to dynamic Nelson–Siegel modeling, with all its nuances and opportunities. Among other things, it emphasizes the model's ... More
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