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Publications by Akvilė Mazanauskaitė

Nelson-Siegel Model Approach to the Euro Area Yield Curves

Lietuvos statistikos darbai

English

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Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

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Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model

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Analyzing Oil Futures With a Dynamic Nelson-Siegel Model

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Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-Coupon Yield Curve

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Bayesian Inference Applied to Dynamic Nelson-Siegel Model With Stochastic Volatility

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A Shape-Based Decomposition of the Yield Adjustment Term in the Arbitrage-Free Nelson and Siegel (AFNS) Model of the Yield Curve

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A System Approach for Measuring the Euro Area NAIRU

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Financial Market Frictions in a Model of the Euro Area

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