Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model

Research output: Working paper › Academic

Series	EI report serie
Volume	EI 2010-06

Research programs

@techreport{685f55b6843c42e6b39852984ea41e71,

title = "Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model",

author = "Exterkate, {P (Peter)} and {van Dijk}, Dick and Christiaan Heij and Patrick Groenen",

year = "2010",

language = "Undefined/Unknown",

series = "EI report serie",

pages = "1--40",

type = "WorkingPaper",

}

TY - UNPB

T1 - Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model

AU - Exterkate, P (Peter)

AU - van Dijk, Dick

AU - Heij, Christiaan

AU - Groenen, Patrick

PY - 2010

Y1 - 2010

M3 - Working paper

T3 - EI report serie

SP - 1

EP - 40

BT - Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model

CY - 3000 DR Rotterdam

ER -