Term-structure modelling at the zero lower bound : implications for estimating the forward term premium
Tsz-Kin Chung, Cho-Hoi Hui, Ka-Fai Li
| Year of publication: |
May 2017
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|---|---|
| Authors: | Chung, Tsz Kin ; Hui, Cho H. ; Li, Ka Fai |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 21.2017, p. 100-106
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| Subject: | Forward term premium | Zero lower bound | Quadratic Gaussian term-structure model | Bayesian MCMC | Zinsstruktur | Yield curve | Theorie | Theory | Niedrigzinspolitik | Low-interest-rate policy | Gauß-Prozess | Gaussian process | Bayes-Statistik | Bayesian inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011807514