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A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates
Authors
Giacomini R, Ragusa G Altavilla C
Piazzesi M Ang A
+27 more
Ng S Bai J
Ng S Bai J
Boivin J Bernanke BS
Rossi B Carrasco M
Hansen BE Cheng X
Diebold FX, Rudebusch GD Christensen JHE
Giannone D, Modugno M Coroneo L
Swanson NR Corradi V
Li C Diebold FX
Rudebusch GD Diebold FX
Rudebusch GD, Aruoba SB Diebold FX
Duffee GR
Hastie T, Johnstone L, et al. Efron B
van Dijk D, Heij C Exterkate P
Wright JH Gürkaynak RS
Perez-Quiros G Hamilton JD
Wright JH Hirano K
Swanson NR Kim HH
McCracken MW
Ng S McCracken MW
Mönch E
Siegel A Nelson C
Inoue A Rossi B
Sekhposyan S Rossi B
Wu T Rudebusch GD
Schumacher C
Liu RW, Soon V, et al. Tong L
Publication date
1 January 2019
Publisher
'American Institute of Mathematical Sciences (AIMS)'
Doi
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Abstract
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Last time updated on 07/12/2020