SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES
Author:
Affiliation:
1. Department of Econometrics; VU University Amsterdam; Netherlands
2. Tinbergen Institute; Netherlands
3. Erasmus School of Economics; ERIM Rotterdam and CREATES; Aarhus Denmark
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/jae.2319/fullpdf
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4. The dynamics of economic functions: modeling and forecasting the yield curve;Bowsher;Journal of the American Statistical Association,2008
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