Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
Massimo Guidolin, Manuela Pedio
| Year of publication: |
2019
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|---|---|
| Authors: | Guidolin, Massimo ; Pedio, Manuela |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 107.2019, p. 1-30
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| Subject: | Unconventional monetary policy | Butterfly strategies | Dynamic Nelson-Siegel factors | Regime switching | Term structure of interest rates | Zinsstruktur | Yield curve | Geldpolitik | Monetary policy | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Öffentliche Anleihe | Public bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2019.103723 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012312634