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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 - Tinbergen Institute - 2007
This discussion paper has resulted in a publication in the A rated journal 'Journal of Business and Economic Statistics'.<p>
Persistent link: https://www.econbiz.de/10005016262
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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 - Tinbergen Instituut - 2007
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>
Persistent link: https://www.econbiz.de/10011257546
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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 - 2009
Persistent link: https://www.econbiz.de/10003851230
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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 - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 329-343
Persistent link: https://www.econbiz.de/10008736215
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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
Persistent link: https://www.econbiz.de/10003609242
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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 - 2009
Persistent link: https://www.econbiz.de/10003875669
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Dynamic factor analysis in the presence of missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003813787
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Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
Koopman, Siem Jan; Wel, Michel van der - 2011
Persistent link: https://www.econbiz.de/10009008686
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Maximum likelihood estimation for dynamic factor models with missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - In: Journal of economic dynamics & control 35 (2011) 8, pp. 1358-1368
Persistent link: https://www.econbiz.de/10009241401
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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