Staying at zero with affine processes : an application to term structure modelling

Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne, Guillaume Roussellet

Year of publication:	December 2017
Authors:	Monfort, Alain ; Pegoraro, Fulvio ; Renne, Jean-Paul ; Roussellet, Guillaume
Published in:	Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 201.2017, 2, p. 348-366
Subject:	Zero lower bound \| Affine process \| Term structure model \| Lift-off probabilities \| Zinsstruktur \| Yield curve \| Theorie \| Theory \| Niedrigzinspolitik \| Low-interest-rate policy \| Markov-Kette \| Markov chain

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