Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?

By Jens H. E. Christensen, Glenn D. Rudebusch. 2013

107 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/5d41c4d8ff2c6f83026ea309c5e9bbac2e727b2b

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In Finance

1. Jens H. E. Christensen
2. Glenn D. Rudebusch
3. J. Wu
4. A. Schrimpf
5. Anna Cieślak
6. Tomasz Wieladek
7. Martin Weale
8. Carlo Altavilla

Citations in the corpus

• Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2013, methodology): “Second, we assess the efficiency of the extended Kalman filter we use in estimating shadow-rate models by comparing the results to those obtained with the unscented Kalman filter.”