Peter Exterkate

Personal Details

First Name:	Peter
Middle Name:
Last Name:	Exterkate
Suffix:
RePEc Short-ID:	pex2
	http://sydney.edu.au/arts/economics/staff/profiles/peter.exterkate.php

Affiliation

(99%) School of Economics
Faculty of Arts and Social Sciences
University of Sydney

Sydney, Australia
http://sydney.edu.au/arts/economics/
RePEc:edi:deusyau (more details at EDIRC)

(1%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:

1. Peter Exterkate, 2011. "Modelling Issues in Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-138/4, Tinbergen Institute.

   Mentioned in:

   1. Kernel Ridge Regression – Example Computation I
      by Clive Jones in Business Forecasting on 2012-07-27 00:23:25
   2. Kernel Ridge Regression – A Toy Example
      by Clive Jones in Business Forecasting on 2014-03-02 03:10:25
2. Peter Exterkate, 2012. "Model Selection in Kernel Ridge Regression," CREATES Research Papers 2012-10, Department of Economics and Business Economics, Aarhus University.

   Mentioned in:

   1. Kernel Ridge Regression – Example Computation I
      by Clive Jones in Business Forecasting on 2012-07-27 00:23:25
   2. Kernel Ridge Regression – A Toy Example
      by Clive Jones in Business Forecasting on 2014-03-02 03:10:25

Working papers

1. Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013. "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers 2013-16, Department of Economics and Business Economics, Aarhus University.
   • Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016. "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
   • Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.

   Cited by:

   1. Daiki Maki & Yasushi Ota, 2019. "Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches," Papers 1907.12752, arXiv.org, revised Sep 2019.
   2. Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2019. "How is Machine Learning Useful for Macroeconomic Forecasting?," CIRANO Working Papers 2019s-22, CIRANO.
      • Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022. "How is machine learning useful for macroeconomic forecasting?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 920-964, August.
      • Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & St'ephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Papers 2008.12477, arXiv.org.
      • Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Working Papers 20-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Aug 2020.
   3. Thierry Moudiki & Frédéric Planchet & Areski Cousin, 2018. "Multiple Time Series Forecasting Using Quasi-Randomized Functional Link Neural Networks," Post-Print hal-02055155, HAL.
      • Thierry Moudiki & Frédéric Planchet & Areski Cousin, 2018. "Multiple Time Series Forecasting Using Quasi-Randomized Functional Link Neural Networks," Risks, MDPI, vol. 6(1), pages 1-20, March.
   4. Alessandro Giovannelli, 2012. "Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies," CEIS Research Paper 255, Tor Vergata University, CEIS, revised 08 Nov 2012.
   5. Kutateladze, Varlam, 2022. "The kernel trick for nonlinear factor modeling," International Journal of Forecasting, Elsevier, vol. 38(1), pages 165-177.
   6. Varlam Kutateladze, 2021. "The Kernel Trick for Nonlinear Factor Modeling," Papers 2103.01266, arXiv.org.
   7. Milan Fičura, 2019. "Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks," FFA Working Papers 1.001, Prague University of Economics and Business, revised 24 Nov 2019.
   8. Cheng, Kai & Lu, Zhenzhou, 2018. "Sparse polynomial chaos expansion based on D-MORPH regression," Applied Mathematics and Computation, Elsevier, vol. 323(C), pages 17-30.
   9. A. Frenkel’ A. & N. Volkova N. & A. Surkov A. & E. Romanyuk I. & А. Френкель А. & Н. Волкова Н. & А. Сурков А. & Э. Романюк И., 2018. "Использование Методов Гребневой Регрессии При Объединении Прогнозов // The Application Of Ridge Regression Methods When Combining Forecasts," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(4), pages 6-17.
   10. Saeed Salah & Husain R. Alsamamra & Jawad H. Shoqeir, 2022. "Exploring Wind Speed for Energy Considerations in Eastern Jerusalem-Palestine Using Machine-Learning Algorithms," Energies, MDPI, vol. 15(7), pages 1-16, April.
   11. Oslandsbotn, Andreas & Kereta, Željko & Naumova, Valeriya & Freund, Yoav & Cloninger, Alexander, 2022. "StreaMRAK a streaming multi-resolution adaptive kernel algorithm," Applied Mathematics and Computation, Elsevier, vol. 426(C).
   12. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
   13. Xu Gong & Boqiang Lin, 2018. "Structural breaks and volatility forecasting in the copper futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 290-339, March.
   14. Niko Hauzenberger & Florian Huber & Karin Klieber, 2020. "Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques," Papers 2012.08155, arXiv.org, revised Dec 2021.
       • Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
   15. Wei, Yu & Liang, Chao & Li, Yan & Zhang, Xunhui & Wei, Guiwu, 2020. "Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? Evidence based on HAR and Ridge regression models," Finance Research Letters, Elsevier, vol. 35(C).
   16. Peter Exterkate, 2012. "Model Selection in Kernel Ridge Regression," CREATES Research Papers 2012-10, Department of Economics and Business Economics, Aarhus University.
   17. Yoshiki Nakajima & Naoya Sueishi, 2022. "Forecasting the Japanese macroeconomy using high-dimensional data," The Japanese Economic Review, Springer, vol. 73(2), pages 299-324, April.
   18. Peter Exterkate, 2011. "Modelling Issues in Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-138/4, Tinbergen Institute.
   19. Tian Han & Ying Wang & Xiao Wang & Kang Chen & Huaiwu Peng & Zhenxin Gao & Lanxin Cui & Wentong Sun & Qinke Peng, 2023. "Mixed Multi-Pattern Regression for DNI Prediction in Arid Desert Areas," Sustainability, MDPI, vol. 15(17), pages 1-16, August.
   20. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
   21. Wojciech Victor Fulmyk, 2023. "Nonlinear Granger Causality using Kernel Ridge Regression," Papers 2309.05107, arXiv.org.

2. Peter Exterkate, 2012. "Model Selection in Kernel Ridge Regression," CREATES Research Papers 2012-10, Department of Economics and Business Economics, Aarhus University.

   Cited by:

   1. Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016. "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
      • Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013. "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers 2013-16, Department of Economics and Business Economics, Aarhus University.
      • Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
   2. Heejoon Han & Dennis Kristensen, 2012. "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers 2012-25, Department of Economics and Business Economics, Aarhus University.
      • Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers 18/13, Institute for Fiscal Studies.
      • Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
      • Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.

3. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.

   Cited by:

   1. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
   2. Johannes Tang Kristensen, 2012. "Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?," CREATES Research Papers 2012-28, Department of Economics and Business Economics, Aarhus University.
      • Kristensen Johannes Tang, 2014. "Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-30, May.
   3. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
   4. Thomas Despois & Catherine Doz, 2022. "Identifying and interpreting the factors in factor models via sparsity : Different approaches," Working Papers halshs-03626503, HAL.
   5. Thomas Despois & Catherine Doz, 2022. "Identifying and interpreting the factors in factor models via sparsity : Different approaches," PSE Working Papers halshs-03626503, HAL.
   6. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
   7. Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
      • Smeekes, Stephan & Wijler, Etienne, 2018. "Macroeconomic forecasting using penalized regression methods," International Journal of Forecasting, Elsevier, vol. 34(3), pages 408-430.
   8. Johannes Tang Kristensen, 2013. "Diffusion Indexes with Sparse Loadings," CREATES Research Papers 2013-22, Department of Economics and Business Economics, Aarhus University.

4. Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010. "Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model," Econometric Institute Research Papers EI 2010-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
   • Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013. "Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, April.

   Cited by:

   1. Minchul Shin & Molin Zhong, 2015. "Does Realized Volatility Help Bond Yield Density Prediction?," Finance and Economics Discussion Series 2015-115, Board of Governors of the Federal Reserve System (U.S.).
      • Minchul Shin & Molin Zhong, 2013. "Does realized volatility help bond yield density prediction?," PIER Working Paper Archive 13-064, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
      • Shin, Minchul & Zhong, Molin, 2017. "Does realized volatility help bond yield density prediction?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 373-389.
   2. Falk Brauning & Siem Jan Koopman, 2012. "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers 12-042/4, Tinbergen Institute.
      • Bräuning, Falk & Koopman, Siem Jan, 2014. "Forecasting macroeconomic variables using collapsed dynamic factor analysis," International Journal of Forecasting, Elsevier, vol. 30(3), pages 572-584.
   3. Vieira, Fausto & Fernandes, Marcelo & Chague, Fernando, 2017. "Forecasting the Brazilian yield curve using forward-looking variables," International Journal of Forecasting, Elsevier, vol. 33(1), pages 121-131.
      • Fausto Vieira & Fernando Chague & Marcelo Fernandes, 2016. "Forecasting the Brazilian Yield Curve Using Forward-Looking Variables," Working Papers 799, Queen Mary University of London, School of Economics and Finance.
   4. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
      • Guidolin, Massimo & Thornton, Daniel L., 2018. "Predictions of short-term rates and the expectations hypothesis," International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
   5. Lorenčič Eva, 2016. "Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve," Naše gospodarstvo/Our economy, Sciendo, vol. 62(2), pages 42-50, June.
   6. Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
      • Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012. "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers 12-076/4, Tinbergen Institute.
   7. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
      • Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers 11-063/4, Tinbergen Institute.
   8. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
   9. Michele Manna & Emmanuela Bernardini & Mauro Bufano & Davide Dottori, 2013. "Modelling public debt strategies," Questioni di Economia e Finanza (Occasional Papers) 199, Bank of Italy, Economic Research and International Relations Area.
   10. Fausto Vieira & Fernando Chague, Marcelo Fernandes, 2016. "A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US," Working Papers, Department of Economics 2016_31, University of São Paulo (FEA-USP).
       • Vieira, Fausto José Araújo & Chague, Fernando Daniel & Fernandes, Marcelo, 2017. "A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US," Textos para discussão 445, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
   11. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
   12. Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
       • Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
   13. Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
   14. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
   15. Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & Muhammed Hasan Yilmaz, 2020. "Do Local and Global Factors Impact the Emerging Markets’s Sovereign Yield Curves? Evidence from a Data-Rich Environment," Working Papers 2004, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
       • Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & M. Hasan Yilmaz, 2021. "Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1214-1229, November.
   16. Scott A. Brave & R. Andrew Butters & David Kelley, 2019. "A New “Big Data” Index of U.S. Economic Activity," Economic Perspectives, Federal Reserve Bank of Chicago, issue 1, pages 1-30.
   17. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
   18. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
   19. Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & Muhammed Hasan Yilmaz, 2018. "The Interaction between Yield Curve and Macroeconomic Factors," CBT Research Notes in Economics 1802, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
   20. Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.
   21. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
   22. De Gooijer Jan G. & Zerom Dawit, 2020. "Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts," Journal of Time Series Econometrics, De Gruyter, vol. 12(1), pages 1-15, January.

Articles

1. Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016. "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
   • Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013. "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers 2013-16, Department of Economics and Business Economics, Aarhus University.
   • Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
   See citations under working paper version above.
2. Petrevski, Goran & Exterkate, Peter & Tevdovski, Dragan & Bogoev, Jane, 2015. "The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach," Economic Systems, Elsevier, vol. 39(4), pages 632-643.

   Cited by:

   1. Patricks Ogiji & Tersoo Shimonkabir Shitile & Nuruddeen Usman, 2022. "Estimating asymmetries in monetary policy reaction function: an oil price augmented Taylor type rule for Nigeria under unconventional regime," Economic Change and Restructuring, Springer, vol. 55(3), pages 1655-1672, August.
   2. Isabella Moder, 2019. "Spillovers from the ECB's Non-standard Monetary Policy Measures on Southeastern Europe," International Journal of Central Banking, International Journal of Central Banking, vol. 15(4), pages 127-163, October.
      • Moder, Isabella, 2017. "Spillovers from the ECB's non-standard monetary policy measures on south-eastern Europe," Working Paper Series 2095, European Central Bank.
   3. Berisha Edmond, 2017. "ECB Monetary Policy Actions and the Economic Conditions of a Non-Euro Member: The Case of Croatia," Global Economy Journal, De Gruyter, vol. 17(2), pages 1-10, June.
   4. Rafael Ravnik & Nikola Bokan, 2018. "Quarterly Projection Model for Croatia," Surveys 34, The Croatian National Bank, Croatia.

3. Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013. "Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, April.
   • Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010. "Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model," Econometric Institute Research Papers EI 2010-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
   See citations under working paper version above.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-FOR: Forecasting (5) 2010-03-06 2012-05-02 2013-06-16 2017-02-19 2017-03-26. Author is listed
2. NEP-ECM: Econometrics (3) 2010-03-06 2012-05-02 2017-02-19
3. NEP-ENE: Energy Economics (2) 2017-02-19 2017-03-26
4. NEP-ETS: Econometric Time Series (2) 2013-06-16 2017-03-26
5. NEP-ORE: Operations Research (2) 2013-06-16 2017-03-26
6. NEP-MST: Market Microstructure (1) 2017-02-19

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