Brazil Yield Curve from B3 and ANBIMA
Nelson-Siegel (1987) Math
Hands-on Python: Dynamic-Nelson-Siegel (Two Steps)
Hands-on Python: Package ‘Dynamic_Nelson_Siegel_Svensson_Kalman_Filter’
Hands-on R: Brazil Yield Curve from B3
Hands-on R: Local Level Model Example (Durbin & Koopman, 2012)
ShinyApp on Yield Curve and Macro Expectations