Research

Publication (SSCI)

• 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

• JPS Unspanned Macro Risk and Its Implications (Manuscript in Preparation)
• Applications of Deep Learning Nelson-Siegel (DLNS) Model (Under development)
• CP Bond Risk Premia and Its Implications (Manuscript in Preparation)
• Segmented Term Structure Model and Applications (Manuscript in Preparation)

Working paper

• Yield Curve Forecasting using Deep Learning Nelson-Siegel (DLNS) Model (Under Revision) https://ssrn.com/abstract=4447541