Similar Search Results

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

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

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