Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models (Q2338517)
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scientific article; zbMATH DE number 7134737
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| English | Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models |
scientific article; zbMATH DE number 7134737 |
Statements
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models (English)
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21 November 2019
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term structure of interest rates
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dynamic Nelson-Siegel factors
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regime switching
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butterfly strategies
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unconventional monetary policy
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0.8012199401855469
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0.7769954204559326
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0.7726490497589111
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0.7663061022758484
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