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

DOI10.1007/978-3-319-54885-2_7MaRDI QIDQ5240331zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(2)

• Modelling the dependency between inflation and exchange rate using copula
• Is normal backwardation normal? Valuing financial futures with a local index-rate covariance

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