Forecasting the term structure of Korean government bond yields using the Dynamic Nelson-Siegel class models
Year of publication: |
2012
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Authors: | Kang, Kyu Ho |
Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 41.2012, 6, p. 765-787
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Subject: | Dynamic Nelson-Siegel model | Bayesian MCMC estimation | Markov switching process | Change-point | Out-of-sample forecasting | Theorie | Theory | Prognoseverfahren | Forecasting model | Zinsstruktur | Yield curve | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
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