Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
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Publication:5392710
DOI10.1198/jbes.2009.07295zbMath1209.91182MaRDI 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
extended Kalman filter; yield curve; time-varying volatility; generalized autoregressive conditional heteroscedasticity model
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G30: Interest rates, asset pricing, etc. (stochastic models)
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