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A Two-factor Model of the U.K. Yield Curve

✍ Scribed by James. M. Steeley

Book ID
108550319
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
308 KB
Volume
65
Category
Article
ISSN
1463-6786

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## ABSTRACT This paper compares various ways of extracting macroeconomic information from a data‐rich environment for forecasting the yield curve using the Nelson–Siegel model. Five issues in extracting factors from a large panel of macro variables are addressed; namely, selection of a subset of th