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An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model, Computational Economics, forthcoming. Published Online
- 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
Working paper
- An Essential Approximation of the Arbitrage-Free Nelson-Siegel-Svensson Term Structure Model (Under Revision)
https://ssrn.com/abstract=4769455
- Second Curvature Factor and Term Premium in the U.S. Yield Curve: Insights from Deep Learning (Under Revision) https://ssrn.com/abstract=4652774
- Yield Curve Forecasting using Deep Learning Nelson-Siegel Model (Under Revision) https://ssrn.com/abstract=4447541
Work-In-Process (Modeling & Estimation Done)
- Revisiting Segmented Dynamic Nelson-Siegel Model
- Revisiting Dynamic Nelson-Siegel Model with Shifting Endpoints
Work Underway (Modeling Done, Estimation Initiated)
- Research on Dynamic Nelson-Siegel Model with Markov Switching Parameters
- Optimal Roll-down Strategy by Riding on the Arbitrage-Free Nelson-Siegel Curve
