Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
| Year of publication: |
2007-12-07
|
|---|---|
| Authors: | Koopman, Siem Jan ; Mallee, Max I.P. ; Wel, Michel van der |
| Institutions: | Tinbergen Institute |
| Subject: | Yield Curve | Time-varying Volatility | Spline Functions | Kalman Filter | Missing Values |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 07-095/4 |
| Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
| Source: |
Persistent link: https://www.econbiz.de/10005016262