Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

B.M.J.P. Jungbacker, S.J. Koopman, M. van der Wel

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Number of pages51
Publication statusPublished - 2009

Publication series

NameTI Discussion Papers Series
No.09-041/4

Cite this

Jungbacker, B. M. J. P., Koopman, S. J., & van der Wel, M. (2009). Dynamic factor models with smooth loadings for analyzing the term structure of interest rates. (TI Discussion Papers Series; No. 09-041/4). Amsterdam: Tinbergen Instituut (TI).
Jungbacker, B.M.J.P. ; Koopman, S.J. ; van der Wel, M. / Dynamic factor models with smooth loadings for analyzing the term structure of interest rates. Amsterdam : Tinbergen Instituut (TI), 2009. (TI Discussion Papers Series; 09-041/4).
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Jungbacker, BMJP, Koopman, SJ & van der Wel, M 2009 'Dynamic factor models with smooth loadings for analyzing the term structure of interest rates' TI Discussion Papers Series, no. 09-041/4, Tinbergen Instituut (TI), Amsterdam.

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates. / Jungbacker, B.M.J.P.; Koopman, S.J.; van der Wel, M.

Amsterdam : Tinbergen Instituut (TI), 2009. (TI Discussion Papers Series; No. 09-041/4).

Research output: Working paperProfessional

TY - UNPB

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AU - Jungbacker, B.M.J.P.

AU - Koopman, S.J.

AU - van der Wel, M.

PY - 2009

Y1 - 2009

M3 - Working paper

T3 - TI Discussion Papers Series

BT - Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

PB - Tinbergen Instituut (TI)

CY - Amsterdam

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Jungbacker BMJP, Koopman SJ, van der Wel M. Dynamic factor models with smooth loadings for analyzing the term structure of interest rates. Amsterdam: Tinbergen Instituut (TI). 2009. (TI Discussion Papers Series; 09-041/4).