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dynamic Nelson-Siegel models
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A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
Mesters, Geert
;
Schwaab, Bernd
;
Koopman, Siem Jan
-
Tinbergen Instituut
-
2014
-standard monetary policy during possibly turbulent times. The yield curve is modeled by the
dynamic
Nelson-Siegel
model while the …
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