Efficient bond price approximations in nonlinear equilibrium-based term structure models
Martin M. Andreasen and Pawel Zabczyk
| Year of publication: |
2015
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|---|---|
| Authors: | Andreasen, Martin Møller ; Zabczyk, Pawel |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 19.2015, 1, p. 1-33
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| Subject: | DSGE model | habit model | higher order perturbation method | long-run risk | stochastic volatility | Zinsstruktur | Yield curve | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | CAPM | Dynamisches Gleichgewicht | Dynamic equilibrium | Anleihe | Bond | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | DSGE-Modell | Börsenkurs | Share price |