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Keywords: State Space Model
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Journal Articles
Estimating and Forecasting a Term Structure of Interest Rates with State-Space Nelson-Siegel Model
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (3): 309–334.
Published: 31 August 2011
... publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Term Structure Nelson-Siegel Model State Space Model Out-of-Sample Prediction ...
