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)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:apfinm:v:16:y:2009:i:4:p:347-369
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