An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model (Q2889591)
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scientific article; zbMATH DE number 6043663
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model |
scientific article; zbMATH DE number 6043663 |
Statements
An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model (English)
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8 June 2012
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macro-finance models
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affine term structure model
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expected inflation
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ex ante real short rate
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Monte Carlo simulations
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