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Publications by Eva Lorenčič

Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-Coupon Yield Curve

Naše gospodarstvo/Our economy

English

Related publications

Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model

SSRN Electronic Journal

English

Zero–Coupon Yields Estimated by Zero–Degree Splines

SSRN Electronic Journal

English

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

SSRN Electronic Journal

English

A Shape-Based Decomposition of the Yield Adjustment Term in the Arbitrage-Free Nelson and Siegel (AFNS) Model of the Yield Curve

Applied Financial Economics

English

Nelson-Siegel Model Approach to the Euro Area Yield Curves

Lietuvos statistikos darbai

English

Analyzing Oil Futures With a Dynamic Nelson-Siegel Model

Journal of Futures Markets

English

Cubic Splines.

Molecular Biology

English

Bayesian Inference Applied to Dynamic Nelson-Siegel Model With Stochastic Volatility

Brazilian Review of Econometrics

English

Endpoint Formulas for Interpolatory Cubic Splines

Mathematics of Computation

Computational Mathematics

Applied Mathematics

English