Chen, Ren-Raw; Liu, Bo; Cheng, Xiaolin - In: Journal of Empirical Finance 17 (2010) 4, pp. 702-721
In this paper, we study inflation risk and the term structure of inflation risk premia in the United States' nominal interest rates through the Treasury Inflation Protection Securities (TIPS) with a multi-factor, modified quadratic term structure model with correlated real and inflation rates....