07-095/4 - Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

• Authors
  Siem Jan Koopman, VU University Amsterdam; Max I.P. Mallee, VU University Amsterdam; Michel van der Wel, VU University Amsterdam
• Publication date
  December 7, 2007

• Keywords
  Yield Curve; Time-varying Volatility; Spline Functions; Kalman Filter; Missing Values
• JEL
  C32; C51; E43