Non-Markov Gaussian Term Structure Models: The Case of Inflation*

DOI10.1093/ROF/RFU017zbMath1417.91519OpenAlexW3125157771MaRDI QIDQ4554709

Jean-Sébastien Fontaine, Bruno Feunou

Publication date: 9 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfu017

zbMATH Keywords

inflationGaussian term structure models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; economic indices and measures (91B82)

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