Non-Markov Gaussian Term Structure Models: The Case of Inflation*

DOI10.1093/ROF/RFU017MaRDI QIDQ4554709zbMATH OpenOpenAlexFDO

Authors Bruno Feunou, Jean-Sébastien Fontaine

Publication date 9 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfu017

zbMATH Keywords

Gaussian term structure modelsinflation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(2)

• On time-dependent nominal contracting models with positive trend inflation
• The term structure of macroeconomic risks at the effective lower bound

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