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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

Zero-coupon yield curves : technical documentation

2005

Persistent link: https://www.econbiz.de/10013437454

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

Yield curve estimation at the National Bank of Poland: spline based methods, curve smoothing and market dynamics

Marciniak, Marek - In: Bank i kredyt 37 (2006) 10, pp. 52-74

Persistent link: https://www.econbiz.de/10003426773

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

Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

the underlying yield factors. We propose a Markov chain Monte Carlo (MCMC) algorithm to efficiently estimate the SVNS … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing …