A Rotated Dynamic Nelson‐Siegel Model. (19th June 2017)
- Record Type:
- Journal Article
- Title:
- A Rotated Dynamic Nelson‐Siegel Model. (19th June 2017)
- Main Title:
- A Rotated Dynamic Nelson‐Siegel Model
- Authors:
- Nyholm, Ken
- Abstract:
- Abstract : I show how to rotate the factor structure of the well‐known Dynamic Nelson‐Siegel yield‐curve model to enable direct parametrization of the short rate process. This makes it easy to calculate model‐implied term premia and to integrate macroeconomic variables into the model in a Taylor‐rule‐type fashion.
- Is Part Of:
- Economic notes. Volume 47:Number 1(2018)
- Journal:
- Economic notes
- Issue:
- Volume 47:Number 1(2018)
- Issue Display:
- Volume 47, Issue 1 (2018)
- Year:
- 2018
- Volume:
- 47
- Issue:
- 1
- Issue Sort Value:
- 2018-0047-0001-0000
- Page Start:
- 113
- Page End:
- 124
- Publication Date:
- 2017-06-19
- Subjects:
- Economics -- Periodicals
330.9 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-0300 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/ecno.12094 ↗
- Languages:
- English
- ISSNs:
- 0391-5026
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3653.932000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 5602.xml