FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE

Fabricio Tourrucôo, João F. Caldeira, Guilherme Moura () and Andre Santos ()

Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

Date: 2016
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Journal Article: Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence (2016)
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