Workshop "Interest Rate Term Structure Modelling"



12.30-13.00Registration and Welcome
13.00-13.40Siem-Jan Koopman (Free University Amsterdam) - The Latent Factor Yield Model with Time-Varying Loadings and Volatility
13.40-14.20Francesco Ravazzolo (Norges Bank) - Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
14.20-15.00Kees Bouwman (Econometric Institute) – Modeling the US Term Structure with Risky Assets as Factors
15.00-15.20Coffee and Tea
15.20-16.00Gerben de Zwart (RSM Erasmus University and Robeco Asset Management) – The Cross-Section of Corporate Bond Returns
16.00-17.00Torben G. Andersen (Kellogg School of Management, Northwestern University) - Do Bonds Span Volatility Risk in the U.S. Treasury Mark Specification test for Affine Term Structure Models


Participation in the workshop is free. Please register by sending an e-mail to Elli Hoek van Dijke ( before Friday September 21.
Download full programme
Contact information:
Elli Hoek van Dijke