Dynamic term structure models with score-driven time-varying parameters : estimation and forecasting
Siem Jan Koopman, André Lucas, Marcin Zamojski
| Year of publication: |
2017
|
|---|---|
| Authors: | Koopman, Siem Jan ; Lucas, André ; Zamojski, Marcin |
| Publisher: |
Warsaw : Economic Institute |
| Subject: | Zinsstruktur | Yield curve | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | VAR-Modell | VAR model | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Extent: | 80 Seiten Illustrationen |
|---|---|
| Series: | NBP working paper. - Warsaw, ZDB-ID 2276335-1. - Vol. no. 258 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Erscheint auch als Online-Ausgabe |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011618466