Max I P Mallee
Biographic Data
| ID | 8920072 |
|---|---|
| NAME | Max I P Mallee |
| GIVEN NAMES | Max I P |
| FAMILY NAME | Mallee |
| SIGNATURE | MALLEE M I P |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2010 |
| LATEST PUBLICATION YEAR | 2010 |
| H-INDEX | 0 |
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
In this article we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson–Siegel model has been recently reformulated as a dynamic factor model with vector autoregressive factors. We extend this framework in two directions. First, the factor loadings in the Nelson–Siegel yield model depend on a single loading parameter tha…
No prominent works on this page.
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
In this article we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson–Siegel model has been recently reformulated as a dynamic factor model with vector autoregressive factors. We extend this framework in two directions. First, the factor loadings in the Nelson–Siegel yield model depend on a single loading parameter tha…
Autoregressive conditional heteroskedasticity (1 work) · Autoregressive model (1 work) · Dynamic factor (1 work) · Econometrics (1 work) · Economics (1 work) · Factor analysis (1 work) · Financial Risk and Volatility Modeling (1 work) · Goodness of fit (1 work) · Heteroscedasticity (1 work) · Interest rate (1 work)