07-043/4 - Examining the Nelson-Siegel Class of Term Structure Models

• Author
  Michiel De Pooter, Erasmus Universiteit Rotterdam
• Publication date
  June 11, 2007

• Keywords
  Term structure of interest rates; Nelson-Siegel; Svensson; Forecasting; State-space model
• JEL
  E4; C5; C32