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Examining the Nelson-Siegel Class of Term Structure Models
Pooter, Michiel De - Tinbergen Institute - 2007
forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …
Persistent link: https://www.econbiz.de/10005137361
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10008838634
Cover Image
Examining the Nelson-Siegel Class of Term Structure Models
Pooter, Michiel De - Tinbergen Instituut - 2007
forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …
Persistent link: https://www.econbiz.de/10011256459
Cover Image
An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011257521