Ken Nyholm

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

SCHOLARLY PAPERS

15

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CITATIONS
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24

Scholarly Papers (15)

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1.

Yield Curve Prediction for the Strategic Investor

ECB Working Paper No. 472
Number of pages: 32 Posted: 28 May 2005
Carlos Bernadell, Joachim Coche and Ken Nyholm
European Central Bank - Risk Management Division, European Central Bank - Risk Management Division and European Central Bank (ECB)
Downloads 725 (33,788)

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Regime switching, scenario analysis, yield curve distributions, state space model

2.

How Arbitrage-Free is the Nelson-Siegel Model?

ECB Working Paper No. 874
Number of pages: 60 Posted: 27 Feb 2008
Laura Coroneo, Ken Nyholm and Rositsa Vidova-Koleva
University of York - Department of Economics and Related Studies, European Central Bank (ECB) and affiliation not provided to SSRN
Downloads 295 (101,963)
Citation 2

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Nelson-Siegel model, No-arbitrage restrictions, affine term structure models, non-parametric test

3.

Inferring the Private Information Content of Trades: A Regime-Switching

Number of pages: 30 Posted: 02 Sep 1998
Ken Nyholm
European Central Bank (ECB)
Downloads 289 (104,266)

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4.

Joint Modelling of International Yield Curves

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 19 Posted: 13 Dec 2007
Matti Koivu, Ken Nyholm and Jacob Stromberg
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 281 (107,411)

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Multiple yield curve model, Principal component analysis, State-space model

5.

The Use of Portfolio Credit Risk Models in Central Banks

ECB Occasional Paper No. 64
Number of pages: 45 Posted: 18 Jul 2007
Ulrich Bindseil, Han van der Hoorn, Ken Nyholm and Henrik Schwartzlose
European Central Bank (ECB), PGGM Investments, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 275 (109,956)

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6.

Foreign Reserves Management Subject to a Policy Objective

ECB Working Paper No. 624
Number of pages: 23 Posted: 01 Jun 2006
Joachim Coche, Matti Koivu, Ken Nyholm and Vesa Poikonen
European Central Bank - Risk Management Division, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 175 (170,297)

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Foreign reserves management, foreign exchange intervention, exchange rate modelling, optimal asset allocation

7.

Nelson-Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?

ECB Working Paper No. 1205
Number of pages: 60 Posted: 09 Jun 2010
Ken Nyholm and Rositsa Vidova-Koleva
European Central Bank (ECB) and affiliation not provided to SSRN
Downloads 139 (206,563)

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Nelson-Siegel model, affine term structure models, quadratic yield curve models, forecast performance

8.

A Factor Risk Model with Reference Returns for the Us Dollar and Japanese Yen Bond Markets

ECB Working Paper No. 641
Number of pages: 36 Posted: 30 Jun 2006
Carlos Bernadell, Joachim Coche and Ken Nyholm
European Central Bank - Risk Management Division, European Central Bank - Risk Management Division and European Central Bank (ECB)
Downloads 110 (246,580)

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Regime switching, scenario analysis, factor risk model

9.

A Rotated Dynamic Nelson-Siegel Model with Macro-Financial Applications

ECB Working Paper No. 1851
Number of pages: 40 Posted: 30 Sep 2015
Ken Nyholm
European Central Bank (ECB)
Downloads 60 (354,412)

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yield curve modeling, dynamic Nelson-Siegel model, term premia, factor rotation, policy rate, state space model

10.

US-Euro Area Term Structure Spillovers, Implications for Central Banks

ECB Working Paper No. 1980
Number of pages: 40 Posted: 03 Feb 2017
Ken Nyholm
European Central Bank (ECB)
Downloads 30 (464,518)

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yield curve modelling, monetary policy, international spillovers

11.

A New Approach to Predicting Recessions

Economic Notes, Vol. 36, No. 1, pp. 27-42, February 2007
Number of pages: 16 Posted: 01 Jun 2007
Ken Nyholm
European Central Bank (ECB)
Downloads 27 (479,385)
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12.

Tracing the Impact of the ECB’s Asset Purchase Programme on the Yield Curve

ECB Working Paper No. 2293 (2019); ISBN 978-92-899-3555-5
Number of pages: 57 Posted: 09 Jul 2019
Fabian Eser, Wolfgang Lemke, Ken Nyholm, Soeren Radde and Andreea Vladu
European Central Bank (ECB), European Central Bank, European Central Bank (ECB), Goldman Sachs - Goldman Sachs and Deutsche Bundesbank
Downloads 6 (603,979)

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term structure of interest rates, term premia, central bank asset purchases, non-standard monetary policy measures, European Central Bank

13.

A Rotated Dynamic Nelson‐Siegel Model

Economic Notes, Vol. 47, Issue 1, pp. 113-124, 2018
Number of pages: 11 Posted: 05 Jan 2018
Ken Nyholm
European Central Bank (ECB)
Downloads 1 (647,983)
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14.

Evolving Yield Curves in the Real-World Measures: A Semi-Parametric Approach

Journal of Risk, Vol. 7, No. 3, pp. 29-62, Spring 2005
Posted: 25 Apr 2005
Riccardo Rebonato, Sukhdeep Mahal, Mark S. Joshi, Lars-Dierk Buchholz and Ken Nyholm
Royal Bank of Scotland, Royal Bank of Scotland, University of Melbourne - Centre for Actuarial Studies (deceased), Independent and European Central Bank (ECB)

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Yield curve, semi-parametric, eigenvalues, eigenvectors

15.

Estimating the Probability of Informed Trading

Forthcoming in Journal of Financial Research
Posted: 06 Sep 2001
Ken Nyholm
European Central Bank (ECB)

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