Christensen, Nicolaj H.; Nysteen, Anders; Pedersen, … - 2016
lower bound, a so-called shadow rate model. Specifically, we use a shadow rate extension of the well-known Arbitrage … rate model on Danish yield data. The reason is that the shadow rate model is challenged when rates continue to decline into … negative territory as has been the case in Denmark in recent years. Despite the challenges, we still prefer a shadow rate model …