Staying at zero with affine processes: an application to term structure modelling
type: Item
instance of: scholarly article
title: Staying at zero with affine processes: an application to term structure modelling
zbMATH Open document ID: 1377.62199
author: Alain Monfort
author: Fulvio Pegoraro
author: Jean-Paul Renne
author: Guillaume Roussellet
published in: Journal of Econometrics
publication date: 2017-11-07T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6803387
zbMATH Keywords: zero lower bound
zbMATH Keywords: affine process
zbMATH Keywords: term structure model
zbMATH Keywords: lift-off probabilities
MaRDI profile type: Publication
full work available at URL: j.jeconom.2017.08.013
OpenAlex ID: W3121185764
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DOI: 10.1016/J.JECONOM.2017.08.013
description: scientific article; zbMATH DE number 6803387