Causal relationships in econometrics are typically based on the concept of predictability and
are established by testing Granger causality. Such relationships are susceptible to change …

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 …

Parametric term structure models have been successfully applied to numerous problems in
fixed income markets, including pricing, hedging, managing risk, as well as to the study of …

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 …

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 many multivariate volatility models, the number of parameters increases faster than the
cross-section dimension, hence creating a curse of dimensionality problem. This paper …

In this paper, we analyze the importance of curvature term structure movements on forecasts
of interest rates. An extension of the exponential three-factor Diebold and Li (2006) model is …

This paper introduces a regime switching vector autoregressive model with time‐varying
regime probabilities, where the regime switching dynamics is described by an observable …

This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR)
methodology with the Nelson and Siegel (NS) parametrization of the yield curve in order to …

This paper is the first to study the forecasting of the term structure of Chinese Treasury
yields. We extend the Nelson–Siegel class of models to estimate and forecast the term …