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. |
Removed claim: author (P16): Item:Q2630353 |
||
| Property / author | |||
| Property / author: Michel van der Wel / rank | |||
Revision as of 17:08, 1 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
