Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
Year of publication: |
2019
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Authors: | Guidolin, Massimo ; Pedio, Manuela |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 107.2019, p. 1-30
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Subject: | Unconventional monetary policy | Butterfly strategies | Dynamic Nelson-Siegel factors | Regime switching | Term structure of interest rates | Geldpolitik | Monetary policy | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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