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Keywords: Dynamic factor model
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2017) 43 (7): 774–793.
Published: 10 July 2017
... is to develop a dynamic factor approach that can provide more precise and consistent forecasting results under various yield curve dynamics. Design/methodology/approach The paper develops a unified dynamic factor model based on Diebold and Li (2006) and Nelson and Siegel (1987) three-factor model...
