Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters

DOI10.1198/jbes.2009.07295zbMath1209.91182OpenAlexW3121946837MaRDI QIDQ5392710

Siem Jan Koopman, M. Mallee, Michel van der Wel

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2009.07295

zbMATH Keywords

extended Kalman filter yield curve time-varying volatility generalized autoregressive conditional heteroscedasticity model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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