An affine two-factor heteroskedastic macro-finance term structure model

DOI10.1080/1350486X.2010.517664zbMATH Open1239.91173OpenAlexW2071523654MaRDI QIDQ2889591FDOQ2889591

Authors: Peter Spreij, Enno Veerman, Peter J. G. Vlaar 

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2010.517664

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zbMATH Keywords

Monte Carlo simulationsmacro-finance modelsaffine term structure modelexpected inflationex ante real short rate

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Affine processes and applications in finance
• Interest rate models -- theory and practice. With smile, inflation and credit
• A joint econometric model of macroeconomic and term-structure dynamics
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (3)

• Problems in certain two-factor term structure models
• Affine pure-jump processes on positive Hilbert-Schmidt operators
• An infinite‐dimensional affine stochastic volatility model

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