Search Results - subject:"Dynamic affine term structure models"

A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models

Juneja, Januj Amar - In: Computational economics 60 (2022) 1, pp. 173-220

Persistent link: https://www.econbiz.de/10013262506

How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?

Juneja, Januj Amar - In: Computational management science 18 (2021) 1, pp. 73-97

Persistent link: https://www.econbiz.de/10012487048

The interest rate effects of government bond purchases away from the lower bound

De Rezende, Rafael B. - 2016

I analyze the recent experience of unconventional monetary policy in Sweden to study the interest rate transmission mechanisms of government bond purchases when interest rates are not constrained by a lower bound. Using dynamic term structure models and event study regressions I find that...

Persistent link: https://www.econbiz.de/10011646682

The interest rate effects of government bond purchases away from the lower bound

De Rezende, Rafael B. - 2016

Persistent link: https://www.econbiz.de/10011471465