A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area

G. Mesters; B. Schwaab; S.J. Koopman

A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area

G. Mesters, B. Schwaab, S.J. Koopman

Research output: Working paper / Preprint › Working paper › Professional

Original language	English
Place of Publication	Amsterdam
Publisher	Tinbergen Institute
Number of pages	44
Publication status	Published - 2014

Publication series

Name	TI Discussion Paper
No.	14-071/III

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http://papers.tinbergen.nl/14071.pdf

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Cite this

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title = "A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area",

author = "G. Mesters and B. Schwaab and S.J. Koopman",

year = "2014",

language = "English",

series = "TI Discussion Paper",

publisher = "Tinbergen Institute",

number = "14-071/III",

type = "WorkingPaper",

institution = "Tinbergen Institute",

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AU - Schwaab, B.

AU - Koopman, S.J.

PY - 2014

Y1 - 2014

M3 - Working paper

T3 - TI Discussion Paper

BT - A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area

PB - Tinbergen Institute

CY - Amsterdam

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