. We embed the rank reduced feature extractions into a stochastic representation for state-space models for yield curve … dynamics and compare the results to classical multi-factor dynamic Nelson-Siegel state-space models. This leads to important …

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a …

. We embed the rank reduced feature extractions into a stochastic representation for state-space models for yield curve … dynamics and compare the results to classical multi-factor dynamic Nelson–Siegel state-space models. This leads to important …

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a …

filter, for approximating the likelihood of nonlinear, non-Gaussian state space models. I establish that the associated …