Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
Bibliographic Data
| ID | 19417372 |
|---|---|
| Authors | Siem Jan Koopman (0000-0002-4440-9524, Tinbergen Institute), Max I P Mallee, Max Mallee (Vrije Universiteit Amsterdam), Michel van der Wel (0000-0001-5133-7680, Tinbergen Institute) |
| Year | 2010 |
| Volume | 28 |
| Issue | 3 |
| Pages | 329-343 |
| Publication date | 2010-07-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/jbes.2009.07295 |
| OpenAlex | W3121946837 |
| Language | EN |
| Citations received | 3 |
| References cited | 2 |
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 that we treat as the fourth latent factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH) process. We present empirical evidence of considerable increases in within-sample goodness of fit for these advances in the dynamic Nelson–Siegel model
Autoregressive conditional heteroskedasticity · Autoregressive model · Dynamic factor · Econometrics · Economics · Factor analysis · Goodness of fit · Heteroscedasticity · Interest rate · Statistics · Yield curve · Financial Risk and Volatility Modeling · Mathematical Dynamics and Fractals · Mathematics · Stochastic processes and financial applications
| Citations per year | 0.6 |
|---|---|
| Citation span | 2021 - 2025 (5) |
| Highly cited | No |