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A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US
Fernandes, Marcelo, Vieira, FaustoVolume:
106
Language:
english
Journal:
Journal of Economic Dynamics and Control
DOI:
10.1016/j.jedc.2019.103720
Date:
September, 2019
File:
PDF, 1.11 MB
english, 2019