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Hokuto Ishii
In this paper, we examined and compared the forecast performances of the dynamic Nelson?Siegel (DNS), dynamic Nelson?Siegel?Svensson (DNSS), and arbitrage-free Nelson?Siegel (AFNS) models after the financial crisis period. The best model for the forecast...
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Hokuto Ishii
This paper investigates the predictability of exchange rate changes by extracting the factors from the three-, four-, and five-factor model of the relative Nelson?Siegel class. Our empirical analysis shows that the relative spread factors are important f...
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Rafael Barros de Rezende
Pág. 27 - 49
This paper compares the interpolation abilities of nonparametric and parametric term structure models which are widely used by the main Central Banks of the world. Seeking the combination of smoothness and flexibility, a new Nelson-Siegel class model is ...
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