Extracting inflation expectations from the term structure the fisher equation in a multivariate SDF framework
Balfoussia, Hiona and Wickens, Mike
Extracting inflation expectations from the term structure the fisher equation in a multivariate SDF framework J5277 2006 - 2006 - 261-277 V. 11 Issue. 3
Finance and Economics
Inflation;Fisher equation;Term structure;Stochastic discount factor;Term premium;GARCH;Macroeconomic risk;Consumption CAPM;
Extracting inflation expectations from the term structure the fisher equation in a multivariate SDF framework J5277 2006 - 2006 - 261-277 V. 11 Issue. 3
Finance and Economics
Inflation;Fisher equation;Term structure;Stochastic discount factor;Term premium;GARCH;Macroeconomic risk;Consumption CAPM;