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Comments on "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model"

Poncela, Pilar - In: International journal of forecasting 29 (2013) 4, pp. 676-694

Persistent link: https://www.econbiz.de/10010221303

Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

Koopman, Siem Jan; Wel, Michel van der - In: International journal of forecasting 29 (2013) 4, pp. 676-694

Persistent link: https://www.econbiz.de/10010221305

Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

Koopman, Siem Jan; Wel, Michel van der - 2011

We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....

Persistent link: https://www.econbiz.de/10011386428

Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

Koopman, Siem Jan; Wel, Michel van der - 2011

Persistent link: https://www.econbiz.de/10009008686

Smooth dynamic factor analysis with application to the US term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - In: Journal of applied econometrics 29 (2014) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10010414251

Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

Persistent link: https://www.econbiz.de/10008771823

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

Persistent link: https://www.econbiz.de/10001689297

Forecasting macroeconomic variables using collapsed dynamic factor analysis

Brauning, Falk; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722660

Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010

Persistent link: https://www.econbiz.de/10003973286

Forecasting cross-sections of frailty-correlated default

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008

Persistent link: https://www.econbiz.de/10003706012

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