Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate
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Publication:1044238
DOI10.1007/s10690-009-9098-0zbMath1177.91135OpenAlexW1990637811MaRDI QIDQ1044238
Publication date: 11 December 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-009-9098-0
deflationreal interest rateaffine term structure modelexpected inflation rateinflation-indexed bondregime shiftzero interest rate
Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cites Work
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