Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Borus Jungbacker; Siem Jan Koopman; Michel van der Wel
| Year of publication: |
2009
|
|---|---|
| Authors: | Jungbacker, Borus ; Koopman, Siem Jan ; Wel, Michel van der |
| Publisher: |
Amsterdam [u.a.] |
| Subject: | Fama-Bliss data set | Zinsstruktur | Yield curve | Schätzung | Estimation | Rendite | Yield | Zustandsraummodell | State space model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Dynamische Wirtschaftstheorie | Economic dynamics | Zero-Bond | Zero-coupon bond | USA | United States |
| Extent: | 51 S. graph. Darst. |
|---|---|
| Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.], ISSN 0929-0834, ZDB-ID 1336423-6. - Vol. 2009,041 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003851230