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An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model, Computational Economics, Volume 65, pages 2965–2990, (2025)
- https://doi.org/10.1007/s10614-024-10653-x
- Full-text access to a view-only version provided by the SharedIt Link
- https://ssrn.com/abstract=4857216
Work-in-process
- Kalman-Free Estimation of Affine Term Structure Models (Manuscript in Preparation)
- A New Macro-Finance Term Structure Model (Manuscript in Preparation)
- The Fed Reports on Term Premium (Manuscript in Preparation)
- Unspanned Macro Risk and Macro Variables (Manuscript in Preparation)
- Cochrane Critique and Taylor Rule (Under development)
- Structual VAR and the Price Puzzle (Under development)
- A Reduced-Form 3-equation New-Keynesian DSGE Model (Under development)
Working paper
- Yield Curve Forecasting using Deep Learning Nelson-Siegel (DLNS) Model (Under Revision) https://ssrn.com/abstract=4447541
