Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model With Time-Varying Parameters
In this article we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson-Siegel model has been recently reformulated as a dynamic factor model with vector autoregressive fac...
Saved in:
| Published in | Journal of business & economic statistics Vol. 28; no. 3; pp. 329 - 343 |
|---|---|
| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
Alexandria
Taylor & Francis
01.07.2010
American Statistical Association Taylor & Francis Ltd |
| Subjects | |
| Online Access | Get full text |
Cover
Loading…
| Abstract | In this article we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson-Siegel model has been recently reformulated as a dynamic factor model with vector autoregressive factors. We extend this framework in two directions. First, the factor loadings in the Nelson-Siegel yield model depend on a single loading parameter that we treat as the fourth latent factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH) process. We present empirical evidence of considerable increases in within-sample goodness of fit for these advances in the dynamic Nelson-Siegel model. |
|---|---|
| AbstractList | In this article we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson-Siegel model has been recently reformulated as a dynamic factor model with vector autoregressive factors. We extend this framework in two directions. First, the factor loadings in the Nelson-Siegel yield model depend on a single loading parameter that we treat as the fourth latent factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH) process. We present empirical evidence of considerable increases in within-sample goodness of fit for these advances in the dynamic Nelson-Siegel model. [PUBLICATION ABSTRACT] In this article we introduce time-varying parameters in the dynamic Nelson—Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson—Siegel model has been recently reformulated as a dynamic factor model with vector autoregressive factors. We extend this framework in two directions. First, the factor loadings in the Nelson—Siegel yield model depend on a single loading parameter that we treat as the fourth latent factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH) process. We present empirical evidence of considerable increases in within-sample goodness of fit for these advances in the dynamic Nelson—Siegel model. |
| Author | Van der Wel, Michel Koopman, Siem Jan Mallee, Max I. P. |
| Author_xml | – sequence: 1 givenname: Siem Jan surname: Koopman fullname: Koopman, Siem Jan – sequence: 2 givenname: Max I. P. surname: Mallee fullname: Mallee, Max I. P. – sequence: 3 givenname: Michel surname: Van der Wel fullname: Van der Wel, Michel |
| BookMark | eNp1ULlOAzEQtRBIhKOmQrLoN_Gxjh06xBmJSxCgtLybMWy0axPbEQpfj0OAjilmindo3ttBm847QOiAkj6lIzWYVRD7jJBRn0g2EhuoRwWXBZNEbqIekVwUhFCxjXZinJE8Sgx7aH7iTLv8bNwrTm-AJxA6_JjCok6LANhbPHYJAsSEH0yCiJ_iL_Vs6UzX1PgW2uhd8djAK7T4xk_zfmnSG540HRTPJixXinsTTAfZKu6hLWvaCPs_dxc9XZxPTq-K67vL8enJdVGX5TAVU7BTCqICxTmjjAAoYipTcwNWMWWhhGpYcVsZari0XNDaSspsLYELKw3fRUdr3_fg54ucQM_8IuS0UQvCKS2VYpk0WJPq4GMMYPV7aLr8s6ZEr2rVq1r1qlb9XWtWHK4Vs5h8-KMzIgVRJc_48RpvnPWhMx8-tFOdzLL1wQbj6iZq_p_5F2h-jO8 |
| CitedBy_id | crossref_primary_10_1002_jae_2680 crossref_primary_10_1007_s10260_017_0378_y crossref_primary_10_1002_jae_2360 crossref_primary_10_1007_s10614_021_10113_w crossref_primary_10_1016_j_pacfin_2012_02_002 crossref_primary_10_2139_ssrn_2226406 crossref_primary_10_2139_ssrn_3067911 crossref_primary_10_1016_j_jempfin_2021_04_008 crossref_primary_10_1080_02664763_2013_845142 crossref_primary_10_1002_ijfe_2777 crossref_primary_10_1016_j_jeconom_2011_02_011 crossref_primary_10_1016_j_jeconom_2024_105750 crossref_primary_10_1198_jasa_2011_ap09732 crossref_primary_10_1002_jae_2319 crossref_primary_10_1016_j_iref_2022_01_011 crossref_primary_10_2139_ssrn_2311721 crossref_primary_10_2139_ssrn_2705868 crossref_primary_10_1002_fut_22290 crossref_primary_10_1007_s10614_024_10653_x crossref_primary_10_1016_j_intfin_2023_101837 crossref_primary_10_1007_s11009_016_9532_5 crossref_primary_10_1016_j_frl_2018_02_020 crossref_primary_10_1108_SEF_11_2015_0273 crossref_primary_10_1080_07350015_2024_2365779 crossref_primary_10_2139_ssrn_2737966 crossref_primary_10_1016_j_econmod_2020_10_015 crossref_primary_10_1016_j_jjie_2022_101204 crossref_primary_10_1080_07474938_2019_1690191 crossref_primary_10_2139_ssrn_2456624 crossref_primary_10_1080_00949655_2023_2299938 crossref_primary_10_2139_ssrn_2079795 crossref_primary_10_4236_jmf_2020_102015 crossref_primary_10_1002_fut_21713 crossref_primary_10_1080_02664763_2014_993363 crossref_primary_10_1016_j_ijforecast_2021_01_027 crossref_primary_10_1515_snde_2019_0094 crossref_primary_10_2139_ssrn_1403105 crossref_primary_10_1002_for_2414 crossref_primary_10_1016_j_csda_2010_07_003 crossref_primary_10_1007_s10614_014_9438_7 crossref_primary_10_1080_01621459_2016_1165104 crossref_primary_10_1016_j_ecosta_2021_03_008 crossref_primary_10_2139_ssrn_2535834 crossref_primary_10_1016_j_econmod_2016_10_003 crossref_primary_10_1142_S2424786322500384 crossref_primary_10_2139_ssrn_1804930 crossref_primary_10_2139_ssrn_4488526 crossref_primary_10_1515_jtse_2012_0025 crossref_primary_10_2139_ssrn_3600955 crossref_primary_10_1093_jjfinec_nbs021 crossref_primary_10_1007_s10203_014_0161_6 crossref_primary_10_1214_12_AOAS551 crossref_primary_10_3982_QE1225 crossref_primary_10_1093_jjfinec_nbu004 crossref_primary_10_1080_02664763_2013_838663 crossref_primary_10_2139_ssrn_3723728 crossref_primary_10_1016_j_ijforecast_2012_12_004 crossref_primary_10_1016_j_ijforecast_2016_11_003 crossref_primary_10_1002_for_1258 crossref_primary_10_1016_j_ijforecast_2018_03_006 crossref_primary_10_2139_ssrn_3538961 crossref_primary_10_26710_jafee_v9i3_2753 crossref_primary_10_2139_ssrn_2232798 crossref_primary_10_1007_s11146_014_9492_x crossref_primary_10_1016_j_iref_2016_03_008 crossref_primary_10_1057_s41283_020_00062_3 crossref_primary_10_2139_ssrn_2350776 crossref_primary_10_3390_econometrics7010009 crossref_primary_10_1146_annurev_financial_110716_032347 crossref_primary_10_3390_stats3030020 crossref_primary_10_1002_for_2288 crossref_primary_10_1002_jae_2358 crossref_primary_10_1108_JRF_04_2020_0067 crossref_primary_10_1080_07350015_2020_1763805 crossref_primary_10_1093_jjfinec_nbaa027 crossref_primary_10_1093_jjfinec_nbx002 crossref_primary_10_1002_jae_2399 crossref_primary_10_2139_ssrn_4025299 crossref_primary_10_3390_axioms11030135 crossref_primary_10_1016_j_eneco_2021_105350 crossref_primary_10_1016_j_jbankfin_2023_106908 crossref_primary_10_2139_ssrn_2316408 crossref_primary_10_1080_10485252_2022_2080825 crossref_primary_10_3917_redp_302_0231 crossref_primary_10_1016_j_najef_2014_06_008 crossref_primary_10_1016_j_ijforecast_2024_04_006 |
| Cites_doi | 10.1016/S0304-3932(03)00032-1 |
| ContentType | Journal Article |
| Copyright | 2010 American Statistical Association
2010 2010 American Statistical Association Copyright American Statistical Association Jul 2010 |
| Copyright_xml | – notice: 2010 American Statistical Association 2010 – notice: 2010 American Statistical Association – notice: Copyright American Statistical Association Jul 2010 |
| DBID | AAYXX CITATION |
| DOI | 10.1198/jbes.2009.07295 |
| DatabaseName | CrossRef |
| DatabaseTitle | CrossRef |
| DatabaseTitleList | |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Economics Statistics Mathematics |
| EISSN | 1537-2707 |
| EndPage | 343 |
| ExternalDocumentID | 2061096741 10_1198_jbes_2009_07295 20750843 10711471 |
| Genre | Articles Feature |
| GroupedDBID | -~X .7F .QJ 0BK 0R~ 29K 2AX 30N 4.4 5GY 7WY 85S 8FL AAAVI AAENE AAIKC AAJMT AAKYL AALDU AAMIU AAMNW AAPUL AAQRR ABBHK ABBKH ABCCY ABFAN ABFIM ABJVF ABKVW ABLIJ ABLJU ABPEM ABQHQ ABTAI ABXUL ABYRZ ABYWD ABYYQ ACGFO ACGFS ACHQT ACMTB ACNCT ACTIO ACTMH ACVFL ADCVX ADGDI ADGTB ADMHP ADODI ADULT AEGYZ AEISY AELLO AELPN AENEX AEOZL AEPSL AEUPB AEYOC AFFNX AFOLD AFSUE AFVYC AFWLO AFXKK AGDLA AGMYJ AHAJD AHDLD AIJEM AIRXU AKBRZ AKBVH AKOOK ALMA_UNASSIGNED_HOLDINGS ALQZU AQRUH AVBZW BDTQF BHOJU BKOMP BLEHA CBXGM CCCUG CHNMF CS3 CWXUR CZBKB D-I D0L DGEBU DKSSO DQDLB DSRWC DU5 EBS ECEWR EFSUC EJD E~A E~B F20 F5P FUNRP FVPDL GROUPED_ABI_INFORM_COMPLETE GTTXZ H13 HQ6 HZ~ H~P IAO IEA IGG IOF J.P JAA JAAYA JBMMH JBU JBZCM JHFFW JKQEH JLEZI JLXEF JMS JPL JPPEU JSODD JST K60 K6~ KYCEM M4Z MS~ N95 NA5 NY~ O9- P2P RIG RNANH ROSJB RTWRZ S-T SA0 SJN SNACF TEJ TFL TFT TFW TN5 TTHFI U5U UT5 UU3 V1K WZA YK4 YQT ZCA ZGOLN ~S~ ABJNI ABQDR ABXSQ ABXYU AGCQS JENOY 07G 1OL 3R3 3V. 8FI 8FJ 8G5 8H~ 8R4 8R5 AAIKQ AAKBW AAYXX ABPAQ ABTAH ABUWG ACAGQ ACGEE ADACV ADBBV AEUMN AFFVI AFKRA AGLEN AGROQ AHDZW AHMOU AKVCP ALCKM ALIPV AMATQ AMXXU AQUVI AWYRJ AZQEC BCCOT BENPR BEZIV BPHCQ BPLKW BVXVI C06 CCPQU CITATION CRFIH DMQIW DWIFK DWQXO EBU EOH FEDTE FRNLG FYUFA GIFXF GNUQQ GROUPED_ABI_INFORM_RESEARCH GUQSH HECYW HF~ HGD HVGLF H~9 IPNFZ IPSME IVXBP LJTGL LPU M0C M0T M2O MVM NUSFT PADUT PQBIZ PQBZA PQQKQ PROAC Q2X QCRFL RNS S0X TAQ TBQAZ TDBHL TFMCV TOXWX TUROJ UB9 UKHRP YCJ YYP ZY4 ACDIW ACUHF ADMHG APTMU |
| ID | FETCH-LOGICAL-c446t-defd1e5be8332120ee80abac3aef828fe4eb6b3fba1a37f351cf712fc7e35f7a3 |
| ISSN | 0735-0015 |
| IngestDate | Thu Oct 10 18:34:27 EDT 2024 Thu Sep 12 17:17:14 EDT 2024 Fri Feb 02 07:02:04 EST 2024 Tue Jun 13 19:28:41 EDT 2023 |
| IsDoiOpenAccess | false |
| IsOpenAccess | true |
| IsPeerReviewed | true |
| IsScholarly | true |
| Issue | 3 |
| Language | English |
| LinkModel | OpenURL |
| MergedId | FETCHMERGED-LOGICAL-c446t-defd1e5be8332120ee80abac3aef828fe4eb6b3fba1a37f351cf712fc7e35f7a3 |
| OpenAccessLink | https://www.econstor.eu/bitstream/10419/86192/1/07-095.pdf |
| PQID | 503114882 |
| PQPubID | 3244 |
| PageCount | 15 |
| ParticipantIDs | informaworld_taylorfrancis_310_1198_jbes_2009_07295 proquest_journals_503114882 jstor_primary_20750843 crossref_primary_10_1198_jbes_2009_07295 |
| PublicationCentury | 2000 |
| PublicationDate | 2010-07-01 |
| PublicationDateYYYYMMDD | 2010-07-01 |
| PublicationDate_xml | – month: 07 year: 2010 text: 2010-07-01 day: 01 |
| PublicationDecade | 2010 |
| PublicationPlace | Alexandria |
| PublicationPlace_xml | – name: Alexandria |
| PublicationTitle | Journal of business & economic statistics |
| PublicationYear | 2010 |
| Publisher | Taylor & Francis American Statistical Association Taylor & Francis Ltd |
| Publisher_xml | – name: Taylor & Francis – name: American Statistical Association – name: Taylor & Francis Ltd |
| References | p_2 |
| References_xml | – ident: p_2 doi: 10.1016/S0304-3932(03)00032-1 |
| SSID | ssj0000856 |
| Score | 2.3188548 |
| Snippet | In this article we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest... In this article we introduce time-varying parameters in the dynamic Nelson—Siegel yield curve model for the simultaneous analysis and forecasting of interest... |
| SourceID | proquest crossref jstor informaworld |
| SourceType | Aggregation Database Publisher |
| StartPage | 329 |
| SubjectTerms | Curvature Dynamic modeling Economic forecasting models Economic models Extended Kalman filter Forecasting Generalized autoregressive conditional heteroscedasticity model Interest rates Mathematical vectors Maturity Modeling Parametric models Regression analysis Statistical variance Stochastic models Studies Time series forecasting Time-varying volatility Yield curve Yield curves |
| Title | Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model With Time-Varying Parameters |
| URI | https://www.tandfonline.com/doi/abs/10.1198/jbes.2009.07295 https://www.jstor.org/stable/20750843 https://www.proquest.com/docview/503114882 |
| Volume | 28 |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| link | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV3NbtNAEF6F9kA5IChUpAW0Bw5IlkPi9c_6WFFQqBRU0fRHXKxde1cIQVLVroR64iF4EV6JJ2Fmf2yHphIgRVbi2BvL35eZ8e58M4S8GEudsUyj7JfrEEPsUHJdhrwaV2lc6jg3yeOz9-n0JD48T84Hg5-9rKWrRo7K67W6kv9BFfYBrqiS_Qdk20FhB7wHfGELCMP2rzA2FUWuveBpDkYWV5mv7KqA04hg743gA0aUgU0PwEMPbB96MHGmWKNLeIiPzQq66Y_2BexF88koRMJTcWnEUEcCM7kalzO_JqSVPose-aSc5BlnKxpbDrq17sulFz3AT34NDjuKzrC3i50tF9-Cd6PgaOS_OhWYuHsZnNnEApvE2p-1wAX3bCUDxC9HHftLWENIawUzloQY2VmH5a10hkK6rG_GI96jK-vZZOamVKx7Z7Yq1E3PkaMa4rNUtStiCk8dSeck29TFCGMsHrM7ZDMC2wZGdXN_evDxrHP_3LQMbq_b1ZOC8V_9MfpKKLRSKNcnx94IEEzUM39A7jts6b7l3kMyUIttcter2ettcm_W1v2FT1vtja4fkbqlJ4VDKNKTtvSkS009PamhJzX0NIc6elJLz1_ff1hiUkNMisSkfWLSjpiPycnbN_PX09D1-AjLOE6bsFK6mqhEKs4YRFFjpfhYSFEyoTSPuFaxkqlkWoqJAJvCkkmps0mky0yxRGeC7ZCNxXKhnhDKcynzqMqVLFEezYWORVZVXKexgJcYkpf-dhcXtpRLYR6Bc14gMtiRNS8MMkPC-nAUjZk907bVTcFuPWvHoNaO7rkyJHsexsKZj7pIwJ1OwH1Gu7edtke2ur_OU7IBCKlnEAI38rkj3W_2m7bh |
| link.rule.ids | 315,783,787,27936,27937,60214,61003 |
| linkProvider | Library Specific Holdings |
| linkToHtml | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV1LT9wwEB4BPQAHWiiIhdL6wKEX0-w6D0figmjRQtlVVZaWS2XZiUctoOWx4QC_nhkngdLHBSmXSI4T2-OZb5yZbwA2I4eZypDTfjVKhtjSaSykLqMyjQuM8xA8Phim_eP44CQ5mYLtNheGwyrZh8aaKCLoat7cfBhd7_Bcfzh1ftJQTRI2TKbhRcrUX5zAEQ0f9bAOtVtJhhPJ0KAh9vlHB09s0hPG0jZK8S9NHczP3kv40X54HXVytnVTua3i7g9Ox-eO7BUsNLhU7NSCtAhTfrwEs23a8mQJ5gcPBK90N8cgteZ4fg1XgdnkjoygoCZiRMpeHAVe2ptrLy5QhGNHGpT4yshWhDCF0PTj7dhS92LomTRSHoU_-ILrs52L77-qn4IzVOQ3e83JWOKL5UgypgNdhuO9T6PdvmxKOciC_M1Klh7Lrk-c10qRsYy815F1tlDWI_l86GPvUqfQ2a4l0VFJt8Cs28Mi8yrBzKoVmBlfjP0qCJ07l_fK3LuCs2C1xdhmZakxjS1dtgPv28U0lzVjhwmeTq4NTy8X3sxNmN4OqN8X21ThkATriiZG_feplSATD733GHbpWHVgvRUS02iCiUlIa5LLqXtrz3rZO5jtjwaH5nB_-Hkd5urYBQ4WfgMztJB-gyBR5d4Gyb8HnNUI0A |
| linkToPdf | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV1LT9wwEB4BlQoc-oAiFlrqQw9cDNl1snHECZWueJQV4n1AsuzEo_LQ8thwgF_PjJPQUuCClEskx4nt8cw3zsw3AD8ih6lKkdN-NUqG2NJpzKUuoqIb5xhnIXh8u99dP4g3j5PjEVhpcmE4rJJ9aKyIIoKu5s19VWC1wTO9fOb8sGaaJGiYjMI7wgARC7mK-n_VsA6lW0mEE8nIoOb1eaGDJybpCWFpE6T4TFEH69P7CCfNd1dBJ-dLt6Vbyu__o3R848A-wYcalYrVSow-w4gfTMF4k7Q8nILJ7Ud6V7qbYIhaMTxPw3XgNbknEyioidgnVS_2Aivt7Y0XlyjCoSONSewyrhUhSCE0XbsbWOpe9D1TRsq98P9ecHW2C3F0Wv4RnJ8iD-0Np2KJHctxZEwG-gUOer_2f67LupCDzMnbLGXhsWj7xHmtFJnKyHsdWWdzZT2Sx4c-9q7rFDrbtiQ4KmnnmLY7mKdeJZhaNQNjg8uBnwWhM-eyTpF5l3MOrLYY27QoNHZjS5dtwWKzluaq4uswwc_JtOHp5bKbmQnT2wL171qbMhyRYFXPxKhXn5oJIvHYe4dBl45VC-YbGTG1HhiahHQmOZy6M_eml32H9ztrPfN7o781DxNV4AJHCn-FMVpH_43wUOkWgtw_AIP5B30 |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=Analyzing+the+Term+Structure+of+Interest+Rates+Using+the+Dynamic+Nelson%E2%80%94Siegel+Model+With+Time-Varying+Parameters&rft.jtitle=Journal+of+business+%26+economic+statistics&rft.au=Koopman%2C+Siem+Jan&rft.au=Mallee%2C+Max+I.+P.&rft.au=Van+der+Wel%2C+Michel&rft.date=2010-07-01&rft.pub=American+Statistical+Association&rft.issn=0735-0015&rft.eissn=1537-2707&rft.volume=28&rft.issue=3&rft.spage=329&rft.epage=343&rft_id=info:doi/10.1198%2Fjbes.2009.07295&rft.externalDocID=20750843 |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0735-0015&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0735-0015&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0735-0015&client=summon |