[R-SIG-Finance] Kalman Filter Method in R library to Estimate and Forecast the Diebold-Li Yield Curve

[Chien, Josh-CH]

Dear R users,
I'm working on this paper and need to implement model.
Choose R as my development tool.
Anyone know where I can find this library ?
Thanks a lot.


Ps. Diebold, F.X., Rudebusch, G.D. and Aruoba, B. (2006), "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach", Journal of Econometrics, 131, 309-338.

______________________________________
JOSH CHIEN
Risk Analytics & Projects
Enterprise Risk Management (ERM) Dept.
Nan Shan Life Insurance Co.
Email: Josh-CH.Chien at NANSHAN.com.tw<mailto:Matt-CM.Tsao at NANSHAN.com.tw>
DID: +886-2-8758-9522


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