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Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

Persistent link: https://www.econbiz.de/10010532587

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

Persistent link: https://www.econbiz.de/10011373822

Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

Persistent link: https://www.econbiz.de/10011327834

Behavioral learning equilibria

Hommes, Cars H.; Zhu, Mei - 2013

Persistent link: https://www.econbiz.de/10010191433

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

Persistent link: https://www.econbiz.de/10011809984

Estimating implied recovery rates from the term structure of CDS spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724144

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...

Persistent link: https://www.econbiz.de/10010465152