Ken Nyholm

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 23,251

in Total Papers Downloads

3,068

SSRN CITATIONS
Rank 25,677

SSRN RANKINGS

Top 25,677

in Total Papers Citations

14

CROSSREF CITATIONS

22

Scholarly Papers (16)

1.

Yield Curve Prediction for the Strategic Investor

Number of pages: 32 Posted: 28 May 2005
European Central Bank - Risk Management Division, European Central Bank - Risk Management Division and European Central Bank (ECB)
Downloads 835 (40,875)

Abstract:

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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
University of York - Department of Economics and Related Studies, European Central Bank (ECB) and affiliation not provided to SSRN
Downloads 316 (133,735)
Citation 4

Abstract:

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

3.

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 307 (137,588)

Abstract:

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

4.

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 299 (141,465)

Abstract:

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5.

The Use of Portfolio Credit Risk Models in Central Banks

ECB Occasional Paper No. 64
Number of pages: 45 Posted: 18 Jul 2007
European Central Bank (ECB), PGGM Investments, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 289 (146,562)

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6.

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
European Central Bank (ECB), European Central Bank, European Central Bank (ECB), Goldman Sachs - Goldman Sachs and Deutsche Bundesbank
Downloads 215 (195,593)
Citation 15

Abstract:

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

7.

Foreign Reserves Management Subject to a Policy Objective

ECB Working Paper No. 624
Number of pages: 23 Posted: 01 Jun 2006
European Central Bank - Risk Management Division, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 195 (213,915)

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

8.

The Low-Carbon Transition, Climate Commitments and Firm Credit Risk

ECB Working Paper No. 2021/2631
Number of pages: 70 Posted: 22 Dec 2021
European Central Bank (ECB), European Central Bank (ECB), Bank of EnglandEuropean Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and Hanken School of Economics
Downloads 190 (218,847)

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climate change, credit risk, disclosure, green finance, net zero, transition risk

9.

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 148 (269,976)

Abstract:

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

10.

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
European Central Bank - Risk Management Division, European Central Bank - Risk Management Division and European Central Bank (ECB)
Downloads 113 (330,172)

Abstract:

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Regime switching, scenario analysis, factor risk model

11.

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 93 (375,409)

Abstract:

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

12.

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 40 (566,398)

Abstract:

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yield curve modelling, monetary policy, international spillovers

13.

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 (642,027)

Abstract:

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14.

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 (873,533)

Abstract:

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15.

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

Posted: 25 Apr 2005
Royal Bank of Scotland, Royal Bank of Scotland, University of Melbourne - Centre for Actuarial Studies (deceased), Independent and European Central Bank (ECB)

Abstract:

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Yield curve, semi-parametric, eigenvalues, eigenvectors

16.

Estimating the Probability of Informed Trading

Posted: 06 Sep 2001
Ken Nyholm
European Central Bank (ECB)

Abstract:

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