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European Central Bank (ECB)
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Regime switching, scenario analysis, yield curve distributions, state space model
Nelson-Siegel model, No-arbitrage restrictions, affine term structure models, non-parametric test
Multiple yield curve model, Principal component analysis, State-space model
Foreign reserves management, foreign exchange intervention, exchange rate modelling, optimal asset allocation
Nelson-Siegel model, affine term structure models, quadratic yield curve models, forecast performance
term structure of interest rates, term premia, central bank asset purchases, non-standard monetary policy measures, European Central Bank
Regime switching, scenario analysis, factor risk model
yield curve modeling, dynamic Nelson-Siegel model, term premia, factor rotation, policy rate, state space model
yield curve modelling, monetary policy, international spillovers
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Yield curve, semi-parametric, eigenvalues, eigenvectors
