Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate

DOI10.1007/S10690-009-9098-0MaRDI QIDQ1044238zbMATH OpenOpenAlexFDO

Authors Hidenori Futami

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

zbMATH Keywords

affine term structure modeldeflationexpected inflation rateinflation-indexed bondreal interest rateregime shiftzero interest rate

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Recommendations

• Term structure models and the zero bound: an empirical investigation of Japanese yields
• Staying at zero with affine processes: an application to term structure modelling
• The term structure of interest rates under regime shifts and jumps
• A two-factor model for low interest rate regimes
• A positive interest rate model with sticky barrier

Cites work

• A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
• A positive interest rate model with sticky barrier
• A simple regime switching term structure model
• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Bond pricing in a hidden Markov model of the short rate
• Credit risk: Modelling, valuation and hedging

Cited in

(4)

• Expectations hypothesis and term structure of interest rates: an evidence from emerging market
• Staying at zero with affine processes: an application to term structure modelling
• Regime switching term structure model under partial information
• Term structure models and the zero bound: an empirical investigation of Japanese yields

This page was built for publication: Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1044238)