A model of the euro-area yield curve with discrete policy rates
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Publication:2691694
DOI10.1515/SNDE-2016-0043OpenAlexW3122572025MaRDI QIDQ2691694
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2016-0043
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cites Work
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- Measuring the stance of monetary policy in zero lower bound environments
- Bond pricing when the short-term interest rate follows a threshold process
- An Intertemporal General Equilibrium Model of Asset Prices
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
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