Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models (Q2338517): Difference between revisions

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+The yield curve and the macro-economy across time and frequencies
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+How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
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+The affine arbitrage-free class of Nelson-Siegel term structure models
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+Forecasting the term structure of government bond yields
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+The macroeconomy and the yield curve: a dynamic latent factor approach
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+A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
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+Forecasts of US short-term interest rates: a flexible forecast combination approach
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+Analysis of time series subject to changes in regime
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+A joint econometric model of macroeconomic and term-structure dynamics
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+Measuring the stance of monetary policy in zero lower bound environments
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+Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
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+Evolving macroeconomic perceptions and the term structure of interest rates
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+Asymptotic Inference about Predictive Ability
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+Q127390769
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