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Yield Curve Modeling and Forecasting—The Dynamic Nelson–Siegel Approach

Diebold and Rudebusch have written an original and useful book on affine term structure modelling and estimation. It is clearly written, and the detailed appendices make the approach ready to ‘plug and play’. It is important because it attempts to marry the complementary statistical estimation approach to yield curve modelling with the arbitrage-free approach. As Diebold and Rudebusch say, their model