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Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - Tinbergen Institute
We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic … set of unsmoothed Fama-Bliss zero yields for US treasuries of different maturities. The general dynamic factor model with …
Persistent link: https://www.econbiz.de/10005016268
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Spline Smoothing over Difficult Regions
Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Institute - 2008
We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...
Persistent link: https://www.econbiz.de/10005137304
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Model-based Measurement of Latent Risk in Time Series with Applications
Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; … - Tinbergen Institute - 2005
we introduce a general multivariate framework for the time series analysis of risk that is modelled as a latent process … present a general model for the analysis of risk and discuss its statistical treatment based on linear state space methods … the general methodology can be effectively used in the assessment of risk. …
Persistent link: https://www.econbiz.de/10005137355
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Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
Koopman, Siem Jan; Wel, Michel van der - Tinbergen Institute - 2011
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 extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....
Persistent link: https://www.econbiz.de/10008916011
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Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
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>
Persistent link: https://www.econbiz.de/10011256536
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Model-based Measurement of Latent Risk in Time Series with Applications
Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; … - Tinbergen Instituut - 2005
exercise. In this paper we introduce a general multivariate framework for the time series analysis of risk that is modelled as … problems. Seco! nd, we present a general model for the analysis of risk and discuss its statistical treatment based on linear … safety. It is shown that the general methodology can be effectively used in the assessment of risk. …
Persistent link: https://www.econbiz.de/10011257128
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Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - Tinbergen Instituut
propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model … unsmoothed Fama-Bliss zero yields for US treasuries of different maturities. The general dynamic factor model with and without …
Persistent link: https://www.econbiz.de/10011257133
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Spline Smoothing over Difficult Regions
Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Instituut - 2008
We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...
Persistent link: https://www.econbiz.de/10011257636