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