Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters (Q5392710): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| (3 intermediate revisions by 2 users not shown) | |||
| Property / author | |||
| Property / author: Michel van der Wel / rank | |||
| Property / author | |||
| Property / author: Michel van der Wel / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1198/jbes.2009.07295 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3121946837 / rank | |||
Normal rank | |||
Latest revision as of 21:36, 19 March 2024
scientific article; zbMATH DE number 5877721
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters |
scientific article; zbMATH DE number 5877721 |
Statements
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters (English)
0 references
13 April 2011
0 references
extended Kalman filter
0 references
generalized autoregressive conditional heteroscedasticity model
0 references
time-varying volatility
0 references
yield curve
0 references
