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Yield Curve

Nelson-Siegel (1987) Math

Hands-on Python: Dynamic-Nelson-Siegel (Two Steps)

Hands-on Python: Package ‘Dynamic_Nelson_Siegel_Svensson_Kalman_Filter’

Hands-on R: Brazil Yield Curve from B3

Econometrics

Hands-on R: Local Level Model Example (Durbin & Koopman, 2012)

Macro

Probabilities of COPOM Moves

DataViz

ShinyApp on Yield Curve and Macro Expectations