Multi-factor Affine Term Structure Model with Single Regime Shift: Real Term Structure under Zero Interest Rate

Hidenori Futami ()

Asia-Pacific Financial Markets, 2009, vol. 16, issue 4, pages 347-369

Keywords: Affine term structure model; Deflation; Expected inflation rate; Inflation-indexed bond; Real interest rate; Regime shift; Zero interest rate (search for similar items in EconPapers)
Date: 2009
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