Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS
type: Item
instance of: scholarly article
title: Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS
zbMATH Open document ID: 1187.91220
author: Hisashi Nakamura
author: Wataru Nozawa
author: Akihiko Takahashi
published in: Asia-Pacific Financial Markets
publication date: 2009-09-09T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 5602570
zbMATH Keywords: stochastic differential utility
zbMATH Keywords: non-unitary EIS
zbMATH Keywords: term structure of interest rates
zbMATH Keywords: inflation expectation
MaRDI profile type: Publication
full work available at URL: s10690-009-9094-4
OpenAlex ID: W2094739311
cites work: An estimation of economic models with recursive preferences
cites work: An analysis of a least squares regression method for American option pricing
cites work: A theory of the term structure of interest rates
cites work: A term structure model with preferences for the timing of resolution of uncertainty
cites work: A regression-based Monte Carlo method to solve backward stochastic differential equations
cites work: Term structure of interest rates under recursive preferences in continuous time
cites work: Optimal consumption and portfolio selection with stochastic differential utility
DOI: 10.1007/S10690-009-9094-4
description: scientific article; zbMATH DE number 5602570