Koopman, S.J.

model factor parameter series vector loading factor model state estimate matrix forecast time-varying section maturity value panel variance time series result component factor loadings function method process koopman kalman fi lter observation speci nelson –siegel model table curve likelihood space estimation fication nelson volatility journal structure forecasting interest rates dns –tvl model term structure analysis paper garch formulation –siegel variable statistic kalman state vector interest number level factor models error month restriction yield figure slope diebold example period autoregressive equation curvature dns model spline ficient entry specification column kalman filter forecaster correlation time series model earning heteroscedasticity