Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
Cem Çakmaklı
| Year of publication: |
2020
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|---|---|
| Authors: | Çakmaklı, Cem |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 39.2020, 1, p. 71-91
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| Subject: | Bayesian inference | Dirichlet process mixture | dynamic factor model | Nelson-Siegel model | yield curve | Zinsstruktur | Yield curve | Bayes-Statistik | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Dynamische Wirtschaftstheorie | Economic dynamics | USA | United States |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2019.1690191 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181542