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

DOI10.1007/s10690-009-9098-0zbMath1177.91135MaRDI QIDQ1044238

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

deflation; real interest rate; affine term structure model; expected inflation rate; inflation-indexed bond; regime shift; zero interest rate

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G80: Financial applications of other theories

91G30: Interest rates, asset pricing, etc. (stochastic models)

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Expectations hypothesis and term structure of interest rates: an evidence from emerging market, REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION

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