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

DOI10.1080/1350486X.2010.517664MaRDI QIDQ2889591zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

affine term structure modelex ante real short rateexpected inflationmacro-finance modelsMonte Carlo simulations

Mathematics Subject Classification ID

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

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Cites work

• A joint econometric model of macroeconomic and term-structure dynamics
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Affine processes and applications in finance
• An equilibrium characterization of the term structure
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1454625 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit

Cited in

(4)

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

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