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/s10690-009-9098-0zbMath1177.91135MaRDI 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
deflation; real interest rate; affine term structure model; expected inflation rate; inflation-indexed bond; regime shift; zero interest rate
91G70: Statistical methods; risk measures
91G80: Financial applications of other theories
91G30: Interest rates, asset pricing, etc. (stochastic models)
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