Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
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The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a
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美国国家经济研究局创建时间：
2007-11-01
