• Graduate program
  • Research
  • Summer School
  • Events
    • Summer School
      • Applied Public Policy Evaluation
      • Deep Learning
      • Economics of Blockchain and Digital Currencies
      • Economics of Climate Change
      • Foundations of Machine Learning with Applications in Python
      • From Preference to Choice: The Economic Theory of Decision-Making
      • Gender in Society
      • Machine Learning for Business
      • Sustainable Finance
      • Tuition Fees and Payment
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • 16th Tinbergen Institute Annual Conference
    • Annual Tinbergen Institute Conference
  • News
  • Alumni
  • Magazine

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
Download here