11-063/4 - Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model

  • Authors
    Siem Jan Koopman, VU University Amsterdam; Michel van der Wel, Erasmus University Rotterdam
  • Publication date
    April 7, 2011
  • Keywords
    Fama-Bliss data set, Kalman filter, Maximum likelihood, Yield curve
  • JEL
    C32, C51, E43
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