N e1son, Charles R., and Andrew F. Siegel (1987), Parsimonious Modeling of Yield Curves Joumal of Business 60, 473-489.
Abstract
This paper introduces a parametrically parsimonious model for yield curves that has the ability to represent
the shapes generally associated with yield curves: monotonic, humped, and S shaped. We find that the model explains 96% of the variation in bill yields across maturities during the period 1981-83. The movement of the parameters through time reflects and confirms a change in Federal Reserve monetary policy in late 1982. The ability of the fitted curves to predict the price of the long-term Treasury bond with a correlation of .96 suggests that the model captures important attributes of the yield1 maturity relation.
 
Lars E. O. Svensson. Estimating forward interest rates with the extended Nelson &
Siegel method. Sveriges Riksbank Quarterly Review, 3:13–26, 1995.
Abstract
Several central banks use implied forward interest rates as one of their monetary policy
indicators. The paper outlines a convenient and for monetary policy purposes sufficiently
precise method to estimate implied forward rates form Treasu bill and coupon bond
data. The method uses an extended and more flexible variant of Nelson and Siegel's
functional form. Minimization of both price errors and yield errors is discussed.