Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

By Francis X. Diebold, Glenn D. Rudebusch. 2013

142 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3106a94b17c81e1021562cc88fca71fda4e3e062

Citations in the corpus

• A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models (2013, unknown): “See Diebold and Rudebusch (2013) for further discussion. may be re-expressed in terms of forward bond prices.”
• Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2013, methodology): “(7) The AFNS model dynamics under the Q-measure may appear restrictive, but CDR show this structure coupled with general risk pricing provides a very flexible 10See, for example, the discussion and references in Diebold and Rudebusch (2013).”