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Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed methodology is applied to monthly interest rates for four southern European countries: Greece, Italy, Portugal and Spain from the int
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::a786deebca029f53724b4980315c37e2
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-048.pdf
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-048.pdf
