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Type: BOOK - Published: 2006 - Publisher:
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Type: BOOK - Published: 2005 - Publisher:
This paper uses affine models of the term structure to provide historical estimates of risk premia. The foreign exchange and inflation risk premia can be modell
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Type: BOOK - Published: 2007 - Publisher:
This master's thesis analyzes the inflation risk premium embodied in the nominal interest rates based on UK government index-linked and nominal securities data
Language: en
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Type: BOOK - Published: 2014 - Publisher:
This paper examines the inflation risk premium in affine term structure models. By estimating empirical distributions for the inflation risk premium using a new
Language: en
Pages: 48
Pages: 48
Type: BOOK - Published: 2005 - Publisher:
"This paper reviews a simple three-factor arbitrage-free term structure model estimated by Federal Reserve Board staff and reports results obtained from fitting