Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … struc- ture and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating … the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors …
