A Copula Approach to Backward-Looking Factors in Market Based Inflation Expectations

DOI10.1007/978-3-319-54885-2_7zbMath1426.91276OpenAlexW2610651983MaRDI QIDQ5240331

Piotr Płuciennik, Magdalena Szyszko

Publication date: 25 October 2019

Published in: Contemporary Trends and Challenges in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-54885-2_7

zbMATH Keywords

monetary policyexchange ratetail dependence coefficientinflation expectationCentral Bank

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Modelling the persistence of conditional variances
• Autoregressive Conditional Density Estimation
• Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve

This page was built for publication: A Copula Approach to Backward-Looking Factors in Market Based Inflation Expectations