Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?

Wali UllahGraduate School of Economics and Management, Tohoku University, Sendai980–8577, JapanCorrespondence[email protected]
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Yasumasa MatsudaGraduate School of Economics and Management, Tohoku University, Sendai980–8577, JapanView further author information

Yoshihiko TsukudaGraduate School of Economics and Management, Tohoku University, Sendai980–8577, JapanView further author information

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Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?

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Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?

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