Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
Siem Jan Koopman; Michel van der Wel
| Year of publication: |
2013
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|---|---|
| Authors: | Koopman, Siem Jan ; Wel, Michel van der |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 29.2013, 4, p. 676-694
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| Subject: | Fama-Bliss data set | Kalman filter | Maximum likelihood | Yield curve | Zustandsraummodell | State space model | Zinsstruktur | Prognoseverfahren | Forecasting model | USA | United States | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Theorie | Theory | Schätzung | Estimation |
| 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/10010221305