Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Year of publication: |
2010
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Authors: | Koopman, Siem Jan ; Mallee, Max I. P. ; Wel, Michel van der |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 28.2010, 3, p. 329-343
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Subject: | Zinsstruktur | Yield curve | Dynamische Wirtschaftstheorie | Economic dynamics | Zustandsraummodell | State space model |
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