This paper studies the importance of accounting for term structure maturity clusters while estimating latent factors, for the purpose of forecasting yield curves. The maturity clusters are identified using a hierarchical clustering algorithm. We then propose a new block dynamic Nelson-Siegel...

The current debate on monetary and fiscal policy is heavily influenced by estimates of the equilibrium real interest rate. In particular, this concerns estimates derived from a simple aggregate demand and Phillips curve model with time-varying components as proposed by Laubach and Williams...

This paper outlines recently developed techniques for estimating the primitives needed to empirically analyze equilibrium interactions and their implications in oligopolistic markets. It is divided into an introduction and three sections; a section on estimating demand functions, a section on...

This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state...

This paper applies a local linear level model to European yields using the state space methodology to structural equation models in order to obtain an unobserved state vector containing the level, slope and seasonal component of the yields. In addition, this has been performed by differentiating...