Inspired by the preferred habitat theory, we propose parametric interest rate models that split
the term structure into segments. The proposed models are compared with successful term …

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 compare the out-of-sample predictive accuracy of a mixture of bond yield models with
that of the individual models. The individual models considered here are the dynamic …

This study empirically examines the role of macroeconomic and stock market variables in
the dynamic Nelson–Siegel framework with the purpose of fitting and forecasting the term …

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 …

No-arbitrage term structure models impose cross-sectional restrictions among yields and
can be used to impose dynamic restrictions on risk compensation. This paper evaluates the …

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 …

Nearly all studies that analyze the term structure of interest rates take a two-step approach.
First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and …

No-arbitrage term structure models are becoming increasingly important to policy makers
and practitioners alike. Several factors justify this trend. First, modeling progress has been …

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 …