A rotated Dynamic Nelson-Siegel model with macro-financial applications
Year of publication: |
2015
|
---|---|
Authors: | Nyholm, Ken |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | dynamic Nelson-Siegel model | factor rotation | policy rate | state space model | term premia | yield curve modeling |
Series: | ECB Working Paper ; 1851 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-92-899-1664-6 |
Other identifiers: | 83771513X [GVK] hdl:10419/154284 [Handle] RePEc:ecb:ecbwps:20151851 [RePEc] |
Classification: | G1 - General Financial Markets ; E4 - Money and Interest Rates ; C5 - Econometric Modeling |
Source: |
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