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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
- Arbitrage-Free Generalized Nelson-Siegel (AFGNS) Model and Its Application (Manuscript in Preparation)
- Segmented Term Structure Model and Applications (Manuscript in Preparation)
- Forecasting Stock Returns using Transformer (Under Implementation)
- Cochrane-Piazzesi Return Forecasting Factor and Its Application (Under Implementation)
- Adrian-Moench-Crump Model and Its Application (Under Implementation)
Working paper
- 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
