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응용통계연구 = The Korean journal of applied statistics, v.36 no.4, 2023년, pp.349 - 360
임성호 (중앙대학교 응용통계학과) , 황범석 (중앙대학교 응용통계학과)
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Dynamic Nelson-Siegel model is widely used in modeling term structure of interest rates for financial products. In this study, we explain dynamic Nelson-Siegel model from the perspective of the state space model and explore Bayesian approaches that can be applied to that model. By applying SOFR term...
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