An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model
type: Item
instance of: scholarly article
title: An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model
zbMATH Open document ID: 1239.91173
DOI: 10.1080/1350486X.2010.517664
author: Peter Spreij
author: Enno Veerman
author: Peter J. G. Vlaar
published in: Applied Mathematical Finance
publication date: 2012-06-08T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6043663
zbMATH Keywords: macro-finance models
zbMATH Keywords: affine term structure model
zbMATH Keywords: expected inflation
zbMATH Keywords: ex ante real short rate
zbMATH Keywords: Monte Carlo simulations
MaRDI profile type: Publication
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full work available at URL: 1350486x.2010.517664
OpenAlex ID: W2071523654
description: scientific article; zbMATH DE number 6043663