A Quantile Nelson-Siegel model
分位数 Nelson–Siegel 模型
We propose a novel framework for modeling the yield curve from a quantile perspective. Building on the dynamic Nelson-Siegel model of Diebold et al. (2006), we extend its traditional mean-based approach to a quantile regression setting, enabling the estimation of yield curve factors - level, slope, and curvature - at specific quantiles of the conditional distribution. A key advantage of our framework is its ability to characterize the entire conditional distribution of the…