- An Arbitrage-Free Nelson-Siegel-Svensson Term Structure model (Under Review) https://ssrn.com/abstract=4769455 , R code for estimating the AFNSS model
- Extended Shape-Based Decomposition of the Yield-Adjustment Term of Arbitrage-Free Generalized Nelson-Siegel Model (Under Review) https://ssrn.com/abstract=4711168
- Second Curvature Factor and Term Premium in the U.S. Yield Curve: Insights from Deep Learning (Under Review) https://ssrn.com/abstract=4652774
- Yield Curve Forecasting using Deep Learning Nelson-Siegel Model (Under Revision) https://ssrn.com/abstract=4447541
- An Alternative Determination of the Time-Varying Decay Parameter of the Nelson-Siegel Model (R&R)
Work-In-Process (Modeling & Estimation Done)
- Premier Term Structure Predictor among Dynamic and Arbitrage-Free Nelson-Siegel Models and Their Extensions.
- Post-COVID Inflation Expectations and Risk Premiums using the Joint Nominal and Real AFNS Model
- Exploring Spillovers Among U.S. Yield Curve Factors
- Yield Curve Factors across Time and Frequencies
Work Underway (Modeling Done, Estimation Initiated)
- Research on Extensions of the Segmented Dynamic Nelson-Siegel Model
- Optimal Roll-down Strategy by Riding on the Arbitrage-Free Nelson-Siegel Curve
- Research on Natural Real Rate and Monetary Policy Stance using the Real AFNS Model
Wandering Thoughts (Just Thinking, Nothing Done)
- Research on dynamic time-varying copula for constructing a financial stability index
- Research on portfolio optimization based on GARCH-EVT-Copula
- Forecasting GDP and Inflation using DeepAR and DeepVAR
