Check out "A term structure model with useful factors: assessing the impact of ECB’s unconventional policies from 2014 to 2020," by Kramer (ECB), Nyholm (ECB), and Sahakyan (BIS).
The latest in dynamic Nelson-Siegel / arbitrage-free Nelson-Siegel (DNS/AFNS) modeling. They cleverly use a short rate rather than a long-rate (level) factor, and they include the nominal long-term "natural rate of interest" as a fourth factor.
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