Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates
Year of publication: |
2009-09-08
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Authors: | Jungbacker, Borus ; Koopman, Siem Jan ; Wel, Michel van der |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Fama-Bliss data set | Kalman filter | Maximum likelihood | Yield curve |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 3 pages long |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
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Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus, (2009)
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Koopman, Siem Jan, (2011)
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Koopman, Siem Jan, (2011)
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Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus,
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Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus,
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Maximum likelihood estimation for dynamic factor models with missing data
Jungbacker, Borus, (2011)
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