The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve

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Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters (2010, unknown): “Without adopting the Nelson–Siegel framework, Bowsher and Meeks (2008) introduce a five-factor model where spline functions are used to model the yield curve and where the knots for these splines act as factors.”
Forecasting Interest Rates with Shifting Endpoints (2012, unknown): “…a key feature of many term structure models, including no-arbitrage affine models (see, e.g., Duffie and Kan (1996) and Dai and Singleton (2000)), principal-components based methods (Duffee, 2011), spline-based models (Bowsher and Meeks, 2008) and the Nelson-Siegel model (Nelson and Siegel, 1987).”
Locally Stationary Functional Time Series (2016, background): “e assumption of i.i.d. repetitions is violated. Examples of functional time series in nance are bond yield curves, where each function is the yield of the bond as a function of time to maturity (e.g. Bowsher and Meeks, 2008; Hays et al., 2012) or the implied volatility surface of a European call opt”