This discussion paper has resulted in a publication in the A rated journal 'Journal of Business and Economic Statistics'.<p>

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

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....

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>

This discussion paper led to a publication in the <A HREF="http://onlinelibrary.wiley.com/doi/10.1002/jae.2358/abstract"><I>Journal of Applied Econometrics</I></A>, 2014, 29, pages 693-712.<P> Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing...</p></i></a>

This discussion paper led to a publication in the 'Journal of Applied Econometrics'</I>, 2014, 29(1), 65-90.<P> We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor...</p>

This discussion paper has resulted in a publication in the <I>Journal of Business and Economic Statistics<I>.<p>In this discussion paper we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different...</p></i></i>

We consider likelihood inference and state estimation by means of importance sampling for state space models with a nonlinear non-Gaussian observation y ~ p(y|alpha) and a linear Gaussian state alpha ~ p(alpha). The importance density is chosen to be the Laplace approximation of the smoothing...

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980—2005 we directly estimate the credit cycle from the micro rating data. We...