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09-041/4 - Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates


  • Authors
    Borus Jungbacker, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Michel van der Wel, Erasmus University Rotterdam, ERIM, CREATES
  • Publication date
    April 21, 2009
  • Keywords
    Fama-Bliss data set, Kalman filter, Maximum likelihood, Yield curve
  • JEL
    C32, C51, E43