An Unobserved Components Model of the Yield Curve
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- repec:eee:ecmode:v:67:y:2017:i:c:p:73-87 is not listed on IDEAS
- Levant, Jared & Ma, Jun, 2016. "Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson–Siegel models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 117-127.
- Trenkler, Carsten & Weber, Enzo, 2016.
"On the identification of multivariate correlated unobserved components models,"
Elsevier, vol. 138(C), pages 15-18.
- Trenkler, Carsten & Weber, Enzo, 2015. "On the identification of multivariate correlated unobserved components models," Working Papers 15-12, University of Mannheim, Department of Economics.
- Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
- Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
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