Work

Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

Year: 2007

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1068861

Authors: Siem Jan Koopman, Max Mallee, Michel van der Wel

Institutions: Tinbergen Institute, Aarhus University, Vrije Universiteit Amsterdam, Erasmus University Rotterdam

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2168528174

Cites: 31

Cited by: 55

Related to: 10