Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
Year of publication: |
2011
|
---|---|
Authors: | Koopman, Siem Jan ; van der Wel, Michel |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Zinsstruktur | USA | Prognoseverfahren | Maximum-Likelihood-Methode | Zustandsraummodell | Fama-Bliss data set | Kalman filter | Maximum likelihood | Yield curve |
Series: | Tinbergen Institute Discussion Paper ; 11-063/4 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 840696116 [GVK] hdl:10419/86969 [Handle] RePEc:dgr:uvatin:20110063 [RePEc] |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
-
Koopman, Siem Jan, (2011)
-
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus, (2009)
-
Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus, (2010)
- More ...
-
Koopman, Siem Jan, (2014)
-
Maximum likelihood estimation for dynamic factor models with missing data
Jungbacker, Borus, (2011)
-
Koopman, Siem Jan, (2011)
- More ...