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Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility
Zhang, Yumo - 2022
This paper investigates the optimal asset-liability management problems for two managers subject to relative performance concerns in the presence of stochastic inflation and stochastic volatility. The objective of the two managers is to maximize the expected utility of their relative terminal...
Persistent link: https://www.econbiz.de/10014237372
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Business cycles, inflation and forecasting
Moore, Geoffrey Hoyt - 1980
Persistent link: https://www.econbiz.de/10000050408
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Business cycles, inflation, and forecasting
Moore, Geoffrey Hoyt - 1983 - 2. ed.
Persistent link: https://www.econbiz.de/10000054402
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Model uncertainty, the Lucas Critique and robustness in a core inflation model
Kemball-Cook, David; Levine, Paul - 1989
Persistent link: https://www.econbiz.de/10000127591
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Term structure forecasts of inflation
Robertson, Donald - 1991
Persistent link: https://www.econbiz.de/10000130902
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A comparative study of the forecasting performance of fixed parameter and varying parameter inflation models
Song, Haiyan - 1991
Persistent link: https://www.econbiz.de/10000137082
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Forecasting inflation from the term structure : a cointegration approach
Wickens, Mike; Tzavalis, Elias - 1992
Persistent link: https://www.econbiz.de/10000137105
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Confidence about inflation forecasts : tests of variance rationality
Batchelor, R. A.; Jonung, L. - 1989
Persistent link: https://www.econbiz.de/10000087688
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Connections between discrete-time and continuous-time financial models
Sun, Tong-sheng - 1987
Persistent link: https://www.econbiz.de/10000167721
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Bayesian VAR models for forecasting Irish inflation
Kenny, Geoff; Meyler, Aidan; Quinn, Terence - 1998
Persistent link: https://www.econbiz.de/10000168156