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An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model. (2008). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
In: NBER Working Papers.
RePEc:nbr:nberwo:14463.

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Citations received by this document

  1. Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap. (2023). Zheng, Zhongxi ; Zhang, Zhaoyong ; Wu, Junxiang ; Tsui, Albert K.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:5:p:1205-1227.

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  2. Monetary Policy is Not Always Systematic and Data-Driven: Evidence from the Yield Curve. (2023). Vlek, Jan ; Buli, Ale.
    In: Open Economies Review.
    RePEc:kap:openec:v:34:y:2023:i:1:d:10.1007_s11079-022-09663-9.

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  4. Using the Entire Yield Curve in Forecasting Output and Inflation. (2018). Li, Canlin ; Lee, Tae Hwy ; Hillebrand, Eric ; Huang, Huiyu .
    In: Econometrics.
    RePEc:gam:jecnmx:v:6:y:2018:i:3:p:40-:d:166513.

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  5. Prediction Bias Correction for Dynamic Term Structure Models. (2013). Raviv, Eran .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130041.

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  6. Forecasting Latin-American yield curves: An artificial neural network approach. (2013). vela, Daniel .
    In: BORRADORES DE ECONOMIA.
    RePEc:col:000094:010502.

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  7. Forecasting Latin-American yield curves: An artificial neural network approach. (2013). vela, Daniel .
    In: Borradores de Economia.
    RePEc:bdr:borrec:761.

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  8. The Political Economy of the Yield Curve. (2010). Di Maggio, Marco ; Dimaggio, Marco .
    In: MPRA Paper.
    RePEc:pra:mprapa:20697.

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  9. Macro-finance models of interest rates and the economy. (2010). Rudebusch, Glenn ; GlennD. Rudebusch, .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2010-01.

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  10. A theoretical foundation for the Nelson and Siegel class of yield curve models. (2009). Krippner, Leo.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2009/10.

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  11. A Regime Switching Macro-finance Model of the Term Structure. (2009). RAHMAN, Shahidur ; Xiaoneng, ZHU .
    In: Economic Growth Centre Working Paper Series.
    RePEc:nan:wpaper:0901.

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  12. Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields. (2008). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; Jens H. E. Christensen, .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2008-34.

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  13. Giving flexibility to the Nelso-Siegel class of term structure models. (2008). De Rezende, Rafael.
    In: Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting].
    RePEc:anp:en2008:200807211322560.

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References

References cited by this document

  1. Almeida, C. and J. Vicente (2008). The Role of No-Arbitrage in Forecasting: Lessons from a Parametric Term Structure Model. Forthcoming Journal of Banking and Finance.

  2. Bank for International Settlements (2005). Zero-Coupon Yield Curves: Technical Documentation. BIS papers, No. 25.

  3. BjOrk, T. and B. J. Christensen (1999). Interest Rate Dynamics and Consistent Forward Rate Curves. Mathematical Finance 9, 323-48.

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  5. Christensen, J. H., F. X. Diebold, and G. D. Rudebusch (2007). The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. Working Paper No. 13611, NBER.

  6. Christensen, J. H., J. A. Lopez, and G. D. Rudebusch (2008a). Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields. Unpublished manuscript, Federal Reserve Bank of San Francisco.

  7. Christensen, J. H., J. A. Lopez, and G. D. Rudebusch (2008b). Do Central Bank Liquidity Facilities Affect Interbank Lending Rates? Unpublished manuscript, Federal Reserve Bank of San Francisco.

  8. Christensen, J. H., J. A. Lopez, and G. D. Rudebusch (2008c). Stochastic Volatility in ArbitrageFree Nelson-Seigel Models of the Term Sturcture. Unpublished manuscript, Federal Reserve Bank of San Francisco.
    Paper not yet in RePEc: Add citation now

  9. Coroneo, L., K. Nyholm, and R. Vidova-Koleva (2008). How Arbitrage-Free is the Nelson-Siegel Model? Working Paper No. 874, European Central Bank.

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  15. Duffee, G. (2002). Term Premia and Interest Rate Forecasts in Affine Models. Journal of Finance 57, 405-43.

  16. Filipovié, D. (1999). A Note on the Nelson-Siegel Family. Mathematical Finance 9, 349-59.
    Paper not yet in RePEc: Add citation now
  17. Harvey, A. C. (1989). Forecasting, structural time series models and the Kalman filter. Cambridge: Cambridge University Press.
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  18. Kim, D. H. and A. Orphanides (2005). Term Structure Estimation with Survey Data on Interest Rate Forecasts. Finance and Economics Discussion Series, No. 2005-48. Board of Governors of the Federal Reserve System.

  19. Nelson, C. R. and A. F. Siegel (1987). Parsimonious Modeling of Yield Curves. Journal of Business 60, 473-89.

  20. Rudebusch, G. D. and T. Wu (2007). Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models. Journal of Money, Credit, and Banking 39, 395-422.

  21. SOderlind, P. and L. E. 0. Svensson, (1997). New Techniques to Extract Market Expectations From Financial Instruments. Journal of Monetary Economics ~0, 383-429.

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  4. No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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  5. The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu.
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  6. A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto.
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  7. The Term Structure of Government Bond Yields in an Emerging Market. (2018). Waliullah, ; Bari, Khadija Malik.
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  8. Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve. (2017). Bekker, Paul A.
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  9. A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US. (2017). Fernandes, Marcelo ; Chague, Fernando ; Araujo, Fausto Jose .
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  11. A Joint Model of Nominal and Real Yield Curves. (2016). Vicente, Jose ; Kubudi, Daniela .
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