Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model

Constantino Hevia, Martin Gonzalez‐Rozada, Martin Sola and Fabio Spagnolo
Authors registered in the RePEc Author Service: Martin Gonzalez-Rozada

Journal of Applied Econometrics, 2015, vol. 30, issue 6, 987-1009

Date: 2015
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Citations: View citations in EconPapers (15)

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Related works:
Working Paper: Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model (2014)
Working Paper: Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model (2012)
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