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Keywords: Term structure
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2016) 33 (3): 417–436.
Published: 01 August 2016
... translate into movements in medium-term yields (Campbell, 1986). Their approach begins by modelling parsimoniously the entire term structure for each country using the Nelson–Siegel factors which we now describe. Chen and Tsang (2013) use the Nelson and Siegel (1987) framework to model...
