Faculty of Economics and Business Administration Publications Database

Decomposing real and nominal yield curves

Selected
Authors:
Abrahams, Michael
Adrian, Tobias
Crump, Richard K.
Yu, Rui
Source:
Volume: 84
Pages: 182 - 200
Month: December
ISSN-Print: 0304-3932
Link External Source: Online Version
Year: 2016
Keywords: TIPS breakevens; Expected inflation; Inflation risk premium; Affine term-structure model; Liquidity risk
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