| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5083736 | International Review of Economics & Finance | 2013 | 15 Pages |
Abstract
⺠We reveal the limitations of the current Nelson-Siegel estimation procedures. ⺠Ridge regression can alleviate the revealed problems substantially. ⺠Our procedure can reduce the extrapolation errors of the yield curve significantly.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jan Annaert, Anouk G.P. Claes, Marc J.K. De Ceuster, Hairui Zhang,