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

[Shimura, Tetsuro]

Dear Josh-Ch,

I haven't applied for yield curve estimation, but you can find Kalman Filter Method in dlm package produced by Giovanni Petris.
He wrote a book titled "Dynamic Liner Models with R" with others and showed the use of the package for term structure estimation. In this section, he referred the paper you listed below.


Thanks,

Tetsuro Shimura



-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Chien, Josh-CH
Sent: Thursday, March 12, 2015 4:09 PM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] Kalman Filter Method in R library to Estimate and Forecast the Diebold-Li Yield Curve

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


________________________________
"NOTICE: The e-mail, and any attachments thereto, may co...{{dropped:9}}