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  • Search: subject:"dynamic Nelson-Siegel models"
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Year of publication
Subject
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Central bank asset purchases 3 European Central Bank 3 dynamic Nelson-Siegel models 3 importance sampling 3 non-Gaussian 3 state space methods 3 Capital income 1 Central bank 1 EU countries 1 EU-Staaten 1 Euro area 1 Eurozone 1 Geldpolitik 1 Kapitaleinkommen 1 Monetary policy 1 State space model 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 Yield curve 1 Zentralbank 1 Zinsstruktur 1 Zustandsraummodell 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 3
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2 Undetermined 1
Author
All
Koopman, Siem Jan 3 Mesters, Geert 3 Schwaab, Bernd 3
Institution
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Tinbergen Instituut 1
Published in...
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Discussion paper / Tinbergen Institute 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1
Source
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ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
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A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014
We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...
Persistent link: https://www.econbiz.de/10010377183
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Cover Image
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - Tinbergen Instituut - 2014
We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...
Persistent link: https://www.econbiz.de/10011257041
Saved in:
Cover Image
A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area
Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014
We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...
Persistent link: https://www.econbiz.de/10010362975
Saved in:
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