Forecasting the yield curve using a dynamic natural cubic spline model
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DOI: 10.1016/j.econlet.2018.04.009
Abstract: We propose a dynamic natural cubic spline model with a two-step procedure for the forecasting of the entire yield curve. We apply our method to the monthly Chinese yield-curve data and evaluate the out-of-sample forecast… read more here.
Keywords: cubic spline; dynamic natural; yield curve; yield ... See more keywords