Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model

B-Tier

Journal: Journal of Applied Econometrics

Year: 2015

Volume: 30

Issue: 6

Pages: 987-1009

Authors (4)

Constantino Hevia (Universidad Torcuato Di Tella) Martin Gonzalez‐Rozada (not in RePEc) Martin Sola (Universidad Torcuato Di Tella) Fabio Spagnolo

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count