/Kalman-Filter-Dynamic-Nelson-Siegel-and-Svensson

Dynamic Nelson-Siegel and Svensson in one step

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Dynamic Nelson-Siegel and Svensson in one step

a la Diebold,Rudebusch,Aruoba(2006) in one step with Kalman filter.
DNS-baseline: Dynamic Nelson-Siegel
DNSS-baseline: Dynamic Nelson-Siegel-Svensson