Staying at zero with affine processes : an application to term structure modelling
Year of publication: |
December 2017
|
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Authors: | Monfort, Alain ; Pegoraro, Fulvio ; Renne, Jean-Paul ; Roussellet, Guillaume |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 201.2017, 2, p. 348-366
|
Subject: | Zero lower bound | Affine process | Term structure model | Lift-off probabilities | Theorie | Theory | Zinsstruktur | Yield curve | Niedrigzinspolitik | Low-interest-rate policy |
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