Wel, M. van der

model factor trade loading vector parameter state market factor model announcement customer estimate result section forecast series panel matrix method maturity factor loadings table customer fl ow value price nelson –siegel model kalman fi lter trading trader time-varying function space curve number process sample inventory journal observation nelson volatility order analysis likelihood structure interest rates estimation dns –tvl model term structure market makers component formulation koopman –siegel figure maker kalman interest nonannouncement days factor models garch month information paper restriction kalman filter study announcement days yield level signi fication state vector time series diebold ficient forecasting variance future speci