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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