In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

We examine the importance of incorporating macroeconomic information and, in particular,
accounting for model uncertainty when forecasting the term structure of US interest rates. We …

We extend Diebold and Li's dynamic Nelson-Siegel three-factor model to a broader
empirical prospective by including the evaluation of the state space approach and by using …

This chapter discusses what the asset-pricing literature concludes about the forecastability
of interest rates. It outlines forecasting methodologies implied by this literature, including …

This paper proposes a statistical model to adjust, interpolate, and forecast the term structure
of interest rates. The model is based on the extensions for the term structure model of …

We present and estimate a continuous time term structure model that incorporates
observable macroeconomic variables and latent variables with a clear macroeconomic …

This paper studies the predictive ability of a variety of models in forecasting the yield curve
for the Brazilian fixed income market. We compare affine term structure models with a …

We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …

We show how to price the time series and cross section of the term structure of interest rates
using a three-step linear regression approach. Our method allows computationally fast …