14-071/III - A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area

• Authors
  Geert Mesters, VU University Amsterdam, the Netherlands; Bernd Schwaab, European Central Bank; Siem Jan Koopman, VU University Amsterdam, the Netherlands
• Publication date
  June 17, 2014

• Keywords
  dynamic Nelson-Siegel models, Central bank asset purchases, non-Gaussian, state space methods, importance sampling, European Central Bank
• JEL
  C32, C33, E52, E58