Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
DOI10.1016/j.jedc.2019.103723zbMath1425.91319OpenAlexW2921192122WikidataQ127390769 ScholiaQ127390769MaRDI QIDQ2338517
Manuela Pedio, Massimo Guidolin
Publication date: 21 November 2019
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103723
term structure of interest ratesregime switchingunconventional monetary policybutterfly strategiesdynamic Nelson-Siegel factors
Applications of statistics to economics (62P20) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (3)
Cites Work
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