Koopman, Siem Jan; Wel, Michel van der - Tinbergen Instituut - 2011
This discussion paper led to a publication in the <I>International Journal of Forecasting</I> (2013). Vol. 29, pages 676-694.<P> We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for...</p></i>