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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

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

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

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 International Journal of Forecasting (2013). Vol. 29, pages 676-694. 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...

Persistent link: https://www.econbiz.de/10011256536

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

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