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Hevia, C. and Gonzalez-Rozada, M. and Sola, Martin and Spagnolo, F. (2015) Estimating and forecasting the yield curve using a Markov switching dynamic Nelson and Siegel model. Journal of Applied Econometrics 30 (6), pp. 987-1009. ISSN 0883-7252.
Hevia, C. and Gonzalez-Rozada, M. and Sola, Martin and Spagnolo, F. (2014) Estimating and forecasting the yield curve using a Markov Switching Dynamic Nelson and Siegel Model. Working Paper. Birkbeck, University of London, London, UK.