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 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 consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures based on Wald, Lagrange multiplier and likelihood ratio tests for this purpose. The methodology is illustrated by...

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 consider the dynamic factor model and show how smoothness restrictions can be imposed on the factor loadings. Cubic spline functions are used to introduce smoothness in factor loadings. We develop statistical procedures based on Wald, Lagrange multiplier and likelihood ratio tests for this...

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>

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the...

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the...

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the empirical finance literature it is known that tick-by-tick prices are subject to market micro-structure such as bid-ask bounces and trade information. Such market micro-structure...

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the empirical finance literature it is known that tick-by-tick prices are subject to market micro-structure such as bid-ask bounces and trade information. Such market micro-structure...