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Conditional term structure of inflation forecast uncertainty : the copula approach

Charemza, Wojciech; Díaz, Carlos; Makarova, Svetlana D. - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 5-18

Persistent link: https://www.econbiz.de/10012021948

Long-memory inflation uncertainty : evidence from the term structure of interest rates

Backus, David; Zin, Stanley E. - 1993

Persistent link: https://www.econbiz.de/10000857487

Long-memory Inflation Uncertainty : Evidence from the Term Structure of Interest Rates

Backus, David K. - 1993

pricing theory: the persistence of the short rate and variability of the long end of the yield curve. We suggest that this …

Persistent link: https://www.econbiz.de/10012474677

Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables

Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.

Persistent link: https://www.econbiz.de/10002116360

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

Extreme inflation and time-varying expected consumption growth

Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2022 - This version: January 3, 2022

. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and … one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics …

Persistent link: https://www.econbiz.de/10012797771