An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model

DOI10.1080/1350486X.2010.517664zbMath1239.91173OpenAlexW2071523654MaRDI QIDQ2889591

Enno Veerman, Peter J. G. Vlaar, Peter Spreij

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2010.517664

zbMATH Keywords

Monte Carlo simulationsmacro-finance modelsaffine term structure modelexpected inflationex ante real short rate

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Affine pure-jump processes on positive Hilbert-Schmidt operators ⋮ An infinite‐dimensional affine stochastic volatility model

Cites Work

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• A joint econometric model of macroeconomic and term-structure dynamics
• Interest rate models -- theory and practice. With smile, inflation and credit
• Affine processes and applications in finance
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure

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