Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free model across different countries in a...

We propose an affine term structure model that allows for tenor-dependence of yield curves andthus for different risk categories in interbank rates, an important feature of post-crisis interestrate markets. The model has a Nelson-Siegel factor loading structure and thus economicallywell...