Zero-coupon yield curves: technical documentation, · PDF fileZero-coupon yield curves: technical documentation Monetary and Economic Department October 2005 . ... Nelson and Siegel
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COMISEF WORKING PAPERS SERIES · Calibrating the Nelson–Siegel–Svensson model Manfred Gilli∗, Stefan Große† and Enrico Schumann∗ March 30, 2010 Abstract The Nelson–Siegel–Svensson
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A forecasting model for Interest Rates. A comparison between Nelson Siegel Svensson Model and PCA Approach.
