Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
Year of publication: |
2013
|
---|---|
Authors: | Koopman, Siem Jan ; van der Wel, Michel |
Published in: |
International Journal of Forecasting. - Elsevier, ISSN 0169-2070. - Vol. 29.2013, 4, p. 676-694
|
Publisher: |
Elsevier |
Subject: | Fama–Bliss data set | Kalman filter | Maximum likelihood | Yield curve |
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