A Regime-Switching Model of the Yield Curve at the Zero Bound-Reference-Cited by-同舟云学术

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A Regime-Switching Model of the Yield Curve at the Zero Bound

Published:2015-04-29 Issue: Volume: Page:01-63
ISSN:
Container-title:Federal Reserve Bank of San Francisco, Working Paper Series
language:
Short-container-title:ERWP

Author:

Christensen Jens H. E.,

Publisher

Federal Reserve Bank of San Francisco

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound;Journal of Business & Economic Statistics;2024-07-15

2. Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market;Mathematics;2023-06-01

3. Amélioration de la méthodologie de construction de la courbe des taux sans risque dans la zone UEMOA;Assurances et gestion des risques;2020-04-06

4. The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?;Empirical Economics;2019-05-16

5. The interest rate effects of government bond purchases away from the lower bound;Journal of International Money and Finance;2017-06

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