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A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates

Authors
  1. Giacomini R, Ragusa G Altavilla C
  2. Piazzesi M Ang A
  3. Ng S Bai J
  4. Ng S Bai J
  5. Boivin J Bernanke BS
  6. Rossi B Carrasco M
  7. Hansen BE Cheng X
  8. Diebold FX, Rudebusch GD Christensen JHE
  9. Giannone D, Modugno M Coroneo L
  10. Swanson NR Corradi V
  11. Li C Diebold FX
  12. Rudebusch GD Diebold FX
  13. Rudebusch GD, Aruoba SB Diebold FX
  14. Duffee GR
  15. Hastie T, Johnstone L, et al. Efron B
  16. van Dijk D, Heij C Exterkate P
  17. Wright JH Gürkaynak RS
  18. Perez-Quiros G Hamilton JD
  19. Wright JH Hirano K
  20. Swanson NR Kim HH
  21. McCracken MW
  22. Ng S McCracken MW
  23. Mönch E
  24. Siegel A Nelson C
  25. Inoue A Rossi B
  26. Sekhposyan S Rossi B
  27. Wu T Rudebusch GD
  28. Schumacher C
  29. Liu RW, Soon V, et al. Tong L
Publication date
1 January 2019
Publisher
'American Institute of Mathematical Sciences (AIMS)'
Doi

    Abstract

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      Last time updated on 07/12/2020

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