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Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model

Koopman, Siem Jan - 2014

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/10013068300

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

Forecasting interest rates with shifting

Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - 2012

Persistent link: https://www.econbiz.de/10009723022

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

Forecasting interest rates with shifting endpoints

Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - In: Journal of applied econometrics 29 (2014) 5, pp. 693-712

Persistent link: https://www.econbiz.de/10010414859

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 329-343

Persistent link: https://www.econbiz.de/10008736215

Riskfree rate dynamics : information, trading, and state space modeling

Wel, Michel van der - 2008

Persistent link: https://www.econbiz.de/10003775902

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003851230

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003875669

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007

Persistent link: https://www.econbiz.de/10003609242

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