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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
term structure of interest rates, term premia, central bank asset purchases, non-standard monetary policy measures, European Central Bank
Foreign reserves management, foreign exchange intervention, exchange rate modelling, optimal asset allocation
climate change, credit risk, disclosure, green finance, net zero, transition risk
Nelson-Siegel model, affine term structure models, quadratic yield curve models, forecast performance
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
Yield curve, semi-parametric, eigenvalues, eigenvectors
