A dynamic Nelson-Siegel yield curve model with Markov switching
Jared Levant, Jun Ma
| Year of publication: |
December 2017
|
|---|---|
| Authors: | Levant, Jared ; Ma, Jun |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 67.2017, p. 73-87
|
| Subject: | Nelson-Siegel yield curve model | Regime shifts | State-Space model | Kalman filter | Kim algorithm | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Zustandsraummodell | State space model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011813779