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Pitfalls of Nelson-Siegel Yield Curve Modeling – Part I

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 Vasily Nekrasov, Quantitative Developer at IDS GmbH – Analysis and Reporting Services

 Monday, July 9, 2018

The Nelson-Siegel-[Svensson] Model is a common approach to fit a yield curve. Its popularity might be explained with economic interpretability of its parameters but most likely it is because the European Central Bank uses it. However, what may do for ECB will not necessarily work in all cases: the model parameters are sometimes extremely unstable and fail to converge. https://letyourmoneygrow.com/2018/07/08/pitfalls-of-nelson-siegel-yield-curve-modeling-part-i/


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1 comments on article "Pitfalls of Nelson-Siegel Yield Curve Modeling – Part I"

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 Vasily Nekrasov, Quantitative Developer at IDS GmbH – Analysis and Reporting Services

 July 11, 2018



And the 2nd Part: https://letyourmoneygrow.com/2018/07/11/pitfalls-of-nelson-siegel-yield-curve-modeling-part-ii-what-ml-and-ai-cannot-do/

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