The Nelson&Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for...

This paper presents the estimation method used to break down the euro area portfolio investment liabilities in the international investment position (i.i.p.) and their corresponding income debits in the balance of payments (b.o.p.), by main geographical counterpart. Identifying non-resident...