Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

SSRN Electronic Journal ◽

10.2139/ssrn.2006063 ◽

2012 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Interest Rates ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

SSRN Electronic Journal ◽

10.2139/ssrn.1950439 ◽

2011 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Interest Rates ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.2310990 ◽

2013 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Dynamic Term Structure Models Using Principal Components Analysis Near the Zero Lower Bound

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning ◽

10.1142/9789811202391_0061 ◽

2020 ◽

pp. 2199-2250

Author(s):

Januj Juneja

Keyword(s):

Lower Bound ◽

Principal Components Analysis ◽

Term Structure ◽

Principal Components ◽

Zero Lower Bound ◽

Term Structure Models ◽

Components Analysis

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The Taylor Rule, the Zero Lower Bound, and the Term Structure of Interest Rates

Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons - International Symposia in Economic Theory and Econometrics ◽

10.1108/s1571-038620150000024023 ◽

2015 ◽

pp. 405-417 ◽

Author(s):

J. Huston McCulloch

Keyword(s):

Lower Bound ◽

Interest Rates ◽

Term Structure ◽

Taylor Rule ◽

Zero Lower Bound

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Dynamic Term Structure Models: The Best Way to Enforce the Zero Lower Bound in the United States

SSRN Electronic Journal ◽

10.2139/ssrn.2667562 ◽

2015 ◽

Author(s):

Martin M. Andreasen ◽

Andrew Meldrum

Keyword(s):

United States ◽

Lower Bound ◽

Term Structure ◽

The United States ◽

Zero Lower Bound ◽

Term Structure Models

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Likelihood Inference in Non-Linear Term Structure Models: The Importance of the Zero Lower Bound

SSRN Electronic Journal ◽

10.2139/ssrn.1738206 ◽

2011 ◽

Author(s):

Martin M. Andreasen ◽

Andrew Meldrum

Keyword(s):

Lower Bound ◽

Term Structure ◽

Linear Term ◽

Likelihood Inference ◽

Zero Lower Bound ◽

Term Structure Models ◽

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The zero lower bound and movements in the term structure of interest rates

Economics Letters ◽

10.1016/j.econlet.2015.03.039 ◽

2015 ◽

Vol 131 ◽

pp. 66-69 ◽

Author(s):

Christian Grisse

Keyword(s):

Lower Bound ◽

Interest Rates ◽

Term Structure ◽

Zero Lower Bound

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Faster Solutions for Black Zero Lower Bound Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.2330641 ◽

2013 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Efficient Jacobian Evaluations for Estimating Zero Lower Bound Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.2367062 ◽

2013 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Algorithms behind Term Structure Models of Interest Rates II: The Hull-White Trinomial Tree of Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.292223 ◽

2001 ◽

Author(s):

Markus Leippold ◽

Zvi Wiener

Keyword(s):

Interest Rates ◽

Term Structure ◽

Term Structure Models ◽

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