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

By S. J. Koopman, Max I. P. Mallee, Michel van der Wel. 2010

182 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/25f4f3bdd8224982ec5877c63f3f78d854b31c37

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Jens H. E. Christensen
2. Glenn D. Rudebusch
3. Francis X. Diebold
4. Nikolaos Antonakakis
5. Tim Bollerslev
6. K. Yilmaz
7. N. Shephard
8. George Filis

In Mathematical Physics

1. Glenn D. Rudebusch
2. Jens H. E. Christensen
3. J. Wu
4. Jonathan H. Wright
5. René Garcia
6. Jean-Sébastien Fontaine
7. James D. Hamilton
8. R. Gürkaynak

Citations in the corpus

• The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (2010, background): “1 Krippner (2006) derives a special case of the AFNS model with constant risk premiums.”
• Forecasting Interest Rates with Shifting Endpoints (2012, unknown): “Alternatively one could estimate it along with the parameters, or treat it as time-varying as in Koopman et al. (2010). To focus on our time-varying specifications for the trend we treat it as constant.”