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Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007
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 maturities. The Nelson–Siegel model has been recently reformulated as a dynamic factor model with vector...
Persistent link: https://www.econbiz.de/10011373825
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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 - 2010
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...
Persistent link: https://www.econbiz.de/10011378359
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A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015
We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...
Persistent link: https://www.econbiz.de/10011401308
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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Generalized dynamic panel data models with random effects for cross-section and time
Mesters, Geert; Koopman, Siem Jan - 2012
Persistent link: https://www.econbiz.de/10009722706
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A multilevel factor model for economic activity with observation-driven dynamic factors
Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan - 2023
interdependence structures across multiple sectors. The estimation procedure is based on a multistep least squares method which is …
Persistent link: https://www.econbiz.de/10014249846
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Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus; Koopman, Siem Jan; van der Wel, Michel - 2009
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...
Persistent link: https://www.econbiz.de/10010325734
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Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time
Mesters, Geert; Koopman, Siem Jan - 2012
An exact maximum likelihood method is developed for the estimation of parameters in a nonlinear non-Gaussian dynamic … panel data model with unobserved random individual-specific and time-varying effects. We propose an estimation procedure … the cross-section and the time series dimensions. The estimation method facilitates the flexible modeling of large panels …
Persistent link: https://www.econbiz.de/10010326209
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A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2008
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...
Persistent link: https://www.econbiz.de/10011255643
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - Tinbergen Instituut - 2002
considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters …
Persistent link: https://www.econbiz.de/10011255780