Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters (Q5392710): Difference between revisions
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Revision as of 16:08, 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)
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13 April 2011
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extended Kalman filter
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generalized autoregressive conditional heteroscedasticity model
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time-varying volatility
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yield curve
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