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Keywords: Nelson-Siegel Model
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (3): 309–334.
Published: 31 August 2011
...Joonhyuk Song This paper estimates a Nelson-Siegel model under the state-space representation in order to circumvent the shortcomings of the conventional Nelson-Siegel model and evaluates the predictive ability of the estimated model. The results indicate that the estimated Nelson-Siegel time...
