A dynamic Nelson-Siegel yield curve model with Markov switching - Levant, Jared; Ma, Jun (Economic modelling, 2017)
Keywords: C51; E43; Kalman filter; Kim algorithm; Nelson–Siegel yield curve model; Regime shifts; State-Space model; Kim algorithm; E43; Kalman filter; Nelson–Siegel yield curve model; State-Space model; C51; Regime shifts