Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Siem Jan Koopman; Max I. P. Mallee; Michel van der Wel
| Year of publication: |
2010
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|---|---|
| Authors: | Koopman, Siem Jan ; Mallee, Max I. P. ; Wel, Michel van der |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 28.2010, 3, p. 329-343
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| Subject: | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Dynamische Wirtschaftstheorie | Economic dynamics | Prognoseverfahren | Forecasting model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008736215