{"id":"https://openalex.org/W2098608317","doi":null,"title":"Examining the Nelson-Siegel Class of Term Structure Models","display_name":"Examining the Nelson-Siegel Class of Term Structure Models","publication_year":2007,"publication_date":"2007-06-05","ids":{"openalex":"https://openalex.org/W2098608317","mag":"2098608317"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:dgr:uvatin:20070043","doi":null,"is_oa":false,"landing_page_url":"http://papers.tinbergen.nl/07043.pdf","pdf_url":"http://papers.tinbergen.nl/07043.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"preprint"},"volume":null,"type":"preprint","indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://repub.eur.nl/pub/10219/20070434.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5070963471","display_name":"Michiel D. De Pooter","orcid":"https://orcid.org/0000-0002-3670-4451","observed_orcids":["https://orcid.org/0000-0002-3670-4451"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Michiel De Pooter","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-3670-4451","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5070963471"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":74,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9526000022888184,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9526000022888184,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.007699999958276749,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.006000000052154064,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/nelson-siegel-model","display_name":"Nelson-Siegel model","score":0.9890000224113464},{"id":"https://openalex.org/keywords/term-structure-of-interest-rates","display_name":"term structure of interest rates","score":0.9980000257492065},{"id":"https://openalex.org/keywords/term-structure-forecasting","display_name":"term structure forecasting","score":0.7770000100135803},{"id":"https://openalex.org/keywords/four-factor-model","display_name":"four-factor model","score":0.734000027179718},{"id":"https://openalex.org/keywords/state-space-estimation","display_name":"state-space estimation","score":0.722000002861023},{"id":"https://openalex.org/keywords/out-of-sample-predictability","display_name":"out-of-sample predictability","score":0.8970000147819519},{"id":"https://openalex.org/keywords/in-sample-fit","display_name":"in-sample fit","score":0.7279999852180481},{"id":"https://openalex.org/keywords/yield-curve-modeling","display_name":"yield curve modeling","score":0.6150000095367432}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.7469215989112854},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.6900122165679932},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6760875582695007},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.6240386962890625},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.5369828343391418},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.5317056775093079},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5257778167724609},{"id":"https://openalex.org/C176230804","wikidata":"https://www.wikidata.org/wiki/Q205257","display_name":"Yield curve","level":3,"score":0.47012341022491455},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3471972644329071},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.33174630999565125},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.23506465554237366},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.08524012565612793},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"pmh:oai:RePEc:dgr:uvatin:20070043","doi":null,"is_oa":false,"landing_page_url":"http://papers.tinbergen.nl/07043.pdf","pdf_url":"http://papers.tinbergen.nl/07043.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"preprint"},{"id":"pmh:oai:RePEc:tin:wpaper:20070043","doi":null,"is_oa":false,"landing_page_url":"https://papers.tinbergen.nl/07043.pdf","pdf_url":"https://papers.tinbergen.nl/07043.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:2098608317","doi":null,"is_oa":true,"landing_page_url":"https://repub.eur.nl/pub/10219/20070434.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"mag:3125555669","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/paper/tinwpaper/20070043.htm","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"mag:2742710924","doi":null,"is_oa":false,"landing_page_url":"https://www.narcis.nl/publication/RecordID/oai:repub.eur.nl:10219","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":{"id":"mag:2098608317","doi":null,"is_oa":true,"landing_page_url":"https://repub.eur.nl/pub/10219/20070434.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Sustainable cities and communities","id":"https://metadata.un.org/sdg/11","score":0.5099999904632568}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":38,"referenced_works":["https://openalex.org/W1499175565","https://openalex.org/W1517050652","https://openalex.org/W1552060925","https://openalex.org/W1607623934","https://openalex.org/W1754689729","https://openalex.org/W1984860348","https://openalex.org/W2043016978","https://openalex.org/W2046982970","https://openalex.org/W2047658728","https://openalex.org/W2050033699","https://openalex.org/W2068629725","https://openalex.org/W2076057077","https://openalex.org/W2076396344","https://openalex.org/W2077252204","https://openalex.org/W2095928159","https://openalex.org/W2112477378","https://openalex.org/W2129471614","https://openalex.org/W2135606128","https://openalex.org/W2137363566","https://openalex.org/W2138882048","https://openalex.org/W2145722403","https://openalex.org/W2155319227","https://openalex.org/W2155801861","https://openalex.org/W2159723913","https://openalex.org/W2161161559","https://openalex.org/W2164777891","https://openalex.org/W2171591939","https://openalex.org/W2234302625","https://openalex.org/W2268395541","https://openalex.org/W2346411779","https://openalex.org/W2732433252","https://openalex.org/W2891767402","https://openalex.org/W3021444882","https://openalex.org/W3122722073","https://openalex.org/W3123172022","https://openalex.org/W3123894314","https://openalex.org/W3125050320","https://openalex.org/W3125940441"],"related_works":["https://openalex.org/W1535750578","https://openalex.org/W7019132039","https://openalex.org/W2324055780","https://openalex.org/W2588827349","https://openalex.org/W3111868429","https://openalex.org/W323763085","https://openalex.org/W390990024","https://openalex.org/W2557987955","https://openalex.org/W1949000606","https://openalex.org/W7024976509"],"abstract_inverted_index":{"In":[0],"this":[1,99],"paper":[2],"I":[3,29,47],"examine":[4],"various":[5],"extensions":[6],"of":[7,17,24,42],"the":[8,15,21,43,50,66,80],"Nelson":[9],"and":[10,19,86,92],"Siegel":[11],"(1987)":[12],"model":[13,82],"with":[14,74],"purpose":[16],"fitting":[18],"forecasting":[20],"term":[22,44],"structure":[23],"interest":[25],"rates.":[26],"As":[27],"expected,":[28],"find":[30],"that":[31,49,98],"using":[32],"more":[33],"flexible":[34],"models":[35,89],"leads":[36],"to":[37,65],"a":[38,61,75],"better":[39],"in-sample":[40],"fit":[41],"structure.":[45],"However,":[46],"show":[48],"out-of-sample":[51],"predictability":[52],"improves":[53],"as":[54],"well.":[55,72],"The":[56],"four-factor":[57,81],"model,":[58,69],"which":[59],"adds":[60],"second":[62],"slope":[63],"factor":[64],"three-factor":[67],"Nelson-Siegel":[68],"forecasts":[70,85],"particularly":[71],"Especially":[73],"one-step":[76],"state-space":[77],"estimation":[78],"approach":[79],"produces":[83],"accurate":[84],"outperforms":[87],"competitor":[88],"across":[90],"maturities":[91],"forecast":[93],"horizons.":[94],"Subsample":[95],"analysis":[96],"shows":[97],"outperformance":[100],"is":[101],"also":[102],"consistent":[103],"over":[104],"time.":[105]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":12},{"year":2012,"cited_by_count":6}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}