nelson–siegel (ns) factor model

A factor model for yield-curve data that represents the curve with a small number of latent components.

• Types

  factor model, time series model

• Aliases

  NS factor model, Nelson-Siegel model

• Contributors
  박진우 (dztg5apj7m) extractionB (s683577b42) reviewAnonymous (12632b8b5f) review

• Using the Entire Yield Curve in Forecasting Output and Inflation

  16 citations

• Combining forecasts (CF) factors are formed by taking PC or NS factors of many one-predictor forecasts, which makes them supervised for a specific forecast target.

• No direct concept-to-concept edges are published yet.

• combining forecasts (cf) factors

  factor model, method1 shared papers
• combining information (ci) factors

  factor model, method1 shared papers
• principal components (pc)

  statistical method, factor extraction method1 shared papers
• out-of-sample forecasting

  evaluation setting, forecasting task1 shared papers
• monthly us output growth

  forecast target, time series1 shared papers
• monthly us inflation

  forecast target, time series1 shared papers
• monte carlo simulation

  simulation method, evaluation method1 shared papers