Forecasting Term Structure of Interest Rates in Japan
In this paper, we examined and compared the forecast performances of the dynamic Nelson−Siegel (DNS), dynamic Nelson−Siegel−Svensson (DNSS), and arbitrage-free Nelson−Siegel (AFNS) models after the financial crisis period. The best model for the forecast perfo...
| المؤلف الرئيسي: | |
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| التنسيق: | مقال |
| اللغة: | English |
| منشور في: |
MDPI AG
2019-07-01
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| سلاسل: | International Journal of Financial Studies |
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://www.mdpi.com/2227-7072/7/3/39 |