Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model

Peter Exterkate (), Dick van Dijk, Christiaan Heij and Patrick Groenen ()

Journal of Forecasting, 2013, vol. 32, issue 3, 193-214

Date: 2013
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Working Paper: Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model (2010)
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