Modena, Matteo - Department of Economics, Adam Smith Business School - 2008
through Kalman filtering. In this paper, we address the challenging issue of attributing an economic interpretation to the … few latent factors
(level, slope, and curvature) which are obtained through Kalman filtering. In this paper, we address … Classification: C01, C32, E32, E44, G12
Keywords: Term Structure, Kalman Filtering, Latent Factors, Curvature, Business Cycle …