Jump to ContentJump to Main Navigation

You are looking at 1-1 of 1 items

  • Keywords: state���space structure x
Clear All Modify Search

View:

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


View: