This new edition updates Durbin & Koopman's important text on the state space approach to
time series analysis. The distinguishing feature of state space time series models is that …

What are the effects of monetary policy on exchange rates? And have unconventional
monetary policies changed the way monetary policy is transmitted to international financial …

We derive the class of affine arbitrage-free dynamic term structure models that approximate
the widely used Nelson–Siegel yield curve specification. These arbitrage-free Nelson …

This study investigates the sovereign yield curve network of 12 developed countries. We
decompose the term structure of interest rates into the Level, Slope, and Curvature factors …

Understanding the dynamic evolution of the yield curve is critical to many financial tasks,
including pricing financial assets and their derivatives, managing financial risk, allocating …

We propose a new class of observation driven time series models referred to as Generalized
Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled …

Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount
to bond portfolio management and derivative security pricing. Yet a universal model for yield …

The conduct of monetary policy, the term structure of interest rates and the structure of the
economy in the UK have changed over the post-WWII period. We model the interaction …

Dynamic factor models have been the main “big data” tool used by empirical
macroeconomists during the last 30 years. In this context, Kalman filter and smoothing (KFS) …

We present a Bayesian approach for modeling multivariate, dependent functional data. To
account for the three dominant structural features in the data—functional, time dependent …