This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...

In this paper we provide an empirical analysis of the term structure of interest rates using the affine class of term structure models introduced by Duffie and Kan. We estimate these models by combining time-series and cross-section information in a theoretically consistent way. In the...

Extending recent theoretical contributions on sources of inflation inertia, we argue that monetary policy uncertainty helps determine the sluggish adjustment of expectations to nominal disturbances. Estimating a model in which rational individuals learn over time about shifts in US monetary...

Purpose – The purpose of this paper is to establish a link between inflation uncertainty and interest rates for five inflation‐targeting countries. Design/methodology/approach – The approach takes the form of a time‐varying parameter model with a Generalized Autoregressive Conditional...

Purpose This paper aims to address a mobile robot localization system that avoids using a dedicated laser scanner, making it possible to reduce implementation costs and the robot’s size. The system has enough precision and robustness to meet the requirements of industrial environments....

Purpose – The purpose of this paper is to present a markerless human–manipulators interface which maps the position and orientation of human end-effector (EE, the center of the palm) to those of robot EE so that the robot could copy the movement of the operator hand....

In this paper I explore whether knowledge of the time-series properties of premia in the pricing of forward foreign exchange can be usefully exploited in forecasting future spot exchange rates. I use signal-extraction techniques, based on recursive application of the Kalman filter, to identify...

In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices and money, and find that monetary aggregates have a potentially significant role...

In this paper, we implement a methodology to identify and measure premia in the pricing of forward foreign exchange. The methodology involves application of signal-extraction techniques from the engineering literature. Diagnostic tests indicate that these methods are quite successful in...

We construct multivariate, state-space mixed-frequencies models for the main componentsof the Spanish General Government sector made up of blocks for each one of its subsectors: Central Government, Social Security and aggregate of Regional and Local government sectors. Each block is modelled...