The statistical impact of inflation on interest rates

DOI10.1080/03610926.2015.1130842zbMath1373.62528OpenAlexW2471312198MaRDI QIDQ5349201

A. E. Monsalve-Cobis, Winfried Stute, Wenceslao González Manteiga

Publication date: 23 August 2017

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1130842

zbMATH Keywords

inflationOrnstein-Uhlenbeck processinterest ratemodel fitting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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