A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates

A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates

In this paper we survey a number of recent empirical findings regarding the usefulness of including diffusion indexes in dynamic Nelson-Siegel (DNS) type models used to predict the term structure of interest rates (see e.g., Diebold and Li (2007) and Diebold and Rudebusch (2013)). We also survey var...

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Bibliographic Details
Main Authors: Hal Pedersen, Norman R. Swanson
Format: Article
Language:English
Published: AIMS Press 2019-03-01
Series:Quantitative Finance and Economics
Subjects:
real-time forecasting| dynamic Nelson-Siegel model| term structure of interest rates| real-time dataset| FRED-MD| real-time diffusion index
Online Access:https://www.aimspress.com/article/10.3934/QFE.2019.1.22/fulltext.html

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https://www.aimspress.com/article/10.3934/QFE.2019.1.22/fulltext.html

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