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The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve

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Figure

Figure 1: An illustrative NCS signal function or latent yield curve, S γ t (τ). 0 10 20 30 40 50 60 70 80123456789Sγt(τ)γ5tγ4tγ3tγ2tγ6tγ1t maturity
Figure 2: Zero-coupon, Unsmoothed Fama Bliss yields on US Treasury bonds
Figure 3: Percentage increase in model MSFEs by maturity relative to those of the RW YC 0 10 20 30 40 50 60 70 80-30-20-1001020 maturity, τT-FSN(6)-ECM(2) ET (R) DNS (R) ET (C)
Figure 4: Percentage increase in FSN(6)-ECM(p) model MSFEs by maturity relative to those of the RW YC
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