What model for the target rate

DOI10.1515/snde-2019-0005OpenAlexW3001323165MaRDI QIDQ2699598

Jean-Sébastien Fontaine, Jianjian Jin, Bruno Feunou

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0005

zbMATH Keywords

interest ratesfinancial markets

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Forecasting the term structure of government bond yields
• Term structure models and the zero bound: an empirical investigation of Japanese yields
• A new marked point process model for the federal funds rate target: methodology and forecast evaluation
• Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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