Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance

By M. D. Pooter. 2007

148 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1fc3aa15573bd447a585629014f05d04997dcea5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. S. J. Koopman
2. Michel van der Wel
3. André Lucas

In Finance

1. S. J. Koopman
2. Michel van der Wel
3. André Lucas
4. Francisco Blasques
5. Rutger Lit

Citations in the corpus

• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters (2010, background): “De Pooter (2007) examines the dynamic Nelson–Siegel model that is extended by additional factors.”
• Calibrating the Nelson-Siegel-Svensson Model (2010, unknown): “De Pooter (2007) gives an overview of other variants.”
• Forecasting Interest Rates with Shifting Endpoints (2012, unknown): “, Diebold and Li (2006), De Pooter (2007) and Exterkate et al. (2012)) and has quickly become an important benchmark in the yield-curve forecasting literature.”