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-boun...@r-project.org] On Behalf Of Chien, Josh-CH Sent: Thursday, March 12, 2015 4:09 PM To: r-sig-finance@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.ch...@nanshan.com.tw<mailto:matt-cm.t...@nanshan.com.tw> DID: +886-2-8758-9522 ________________________________ "NOTICE: The e-mail, and any attachments thereto, may co...{{dropped:9}} _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
