The statistical impact of inflation on interest rates

DOI10.1080/03610926.2015.1130842zbMATH Open1373.62528OpenAlexW2471312198MaRDI QIDQ5349201FDOQ5349201

Authors: A. E. Monsalve-Cobis, Winfried Stute, Wenceslao González-Manteiga 

Publication date: 23 August 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1130842

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zbMATH Keywords

Ornstein-Uhlenbeck processinflationmodel fittinginterest rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (1)

• Interest rate dynamics and commodity prices

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