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My bibliography Save this paperSmooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates
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- Borus Jungbacker & Siem Jan Koopman & Michel Wel, 2014. "Smooth Dynamic Factor Analysis With Application To The Us Term Structure Of Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 65-90, January.
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Citations
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- Wu, Ximing & Sickles, Robin, 2014. "Semiparametric Estimation under Shape Constraints," Working Papers 15-021, Rice University, Department of Economics.
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- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
"Factor extraction using Kalman filter and smoothing: This is not just another survey,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Poncela Blanco, Maria Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Sven Otto & Nazarii Salish, 2022. "Approximate Factor Models for Functional Time Series," Papers 2201.02532, arXiv.org, revised May 2024.
- Ken Nyholm, 2018. "A Rotated Dynamic Nelson†Siegel Model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 47(1), pages 113-124, February.
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- Feng, Pan & Qian, Junhui, 2018. "Forecasting the yield curve using a dynamic natural cubic spline model," Economics Letters, Elsevier, vol. 168(C), pages 73-76.
- Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
- Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
- Geert Mesters & Victor van der Geest & Catrien Bijleveld, 2014. "Crime, Employment and Social Welfare: an Individual-level Study on Disadvantaged Males," Tinbergen Institute Discussion Papers 14-091/III, Tinbergen Institute.
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More about this item
Keywords
Fama-Bliss data set; Kalman filter; Maximum likelihood; Yield curve;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-09-19 (Econometrics)
- NEP-ETS-2009-09-19 (Econometric Time Series)
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