A copula approach to backward-looking factors in market based inflation expectations

DOI10.1007/978-3-319-54885-2_7zbMATH Open1426.91276OpenAlexW2610651983MaRDI QIDQ5240331FDOQ5240331

Authors: Piotr Pluciennik, Magdalena Szyszko 

Publication date: 25 October 2019

Published in: Contemporary Trends and Challenges in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-54885-2_7

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zbMATH Keywords

monetary policyexchange ratetail dependence coefficientinflation expectationCentral Bank

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Modelling the persistence of conditional variances
• Autoregressive Conditional Density Estimation
• Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve

Cited In (1)

• Is normal backwardation normal? Valuing financial futures with a local index-rate covariance

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