Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

This discussion paper has resulted in a publication in the A rated journal 'Journal of Business and Economic Statistics'.<p>

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:	Tinbergen Institute Discussion Papers.
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:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005016262