Forecasting the yield curve: the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macro-economic factors

Forecasting the yield curve: the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macro-economic factors

• Author
• João Frois Caldeira
• Co-authors
• Werley da Costa Cordeiro , Esther Ruiz Ortega , André Portela Santos
• Abstract
• Keywords
• Dynamic Nelson-Siegel-Svensson model, Time-varying decay parameter, Term Structure, Extended Kalman filter
• Modality
• Comunicação oral
• Subject Area
• ESTE 2023

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