Generalized Interest Rate Dynamics and its impacts on finance and pensions

Milan Stehlik; Jozef Kiselak; R. Potocky; Pavlina Jordanova

doi:10.1080/07362994.2016.1224975

Generalized Interest Rate Dynamics and its impacts on finance and pensions

Milan Stehlik
, Jozef Kiselak
, R. Potocky
, Pavlina Jordanova

Abteilung für Datengewinnung und Datenqualität

Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

Abstract

The recent global financial crisis caused implementation of negative or close to zero interest rates. This situation implies necessity to study flexible and simplistic model of interest rate, which well accomodates oscillations, cycles and negative signs. In this paper we introduce novel nonlinear stochastic interest rate model, which as special case incorporates standard linear model of Parker. Many practical implications for finance and pensions are obtained.

Originalsprache	Englisch
Seiten (von - bis)	178-190
Seitenumfang	13
Fachzeitschrift	Stochastic Analysis and Applications
Volume	35
Ausgabenummer	1
DOIs	https://doi.org/10.1080/07362994.2016.1224975
Publikationsstatus	Veröffentlicht - 02 Jän. 2017

UN SDGs

Dieser Output leistet einen Beitrag zu folgendem(n) Ziel(en) für nachhaltige Entwicklung

SDG 1 – Keine Armut
SDG 10 – Weniger Ungleichheiten

Wissenschaftszweige

101018 Statistik
101024 Wahrscheinlichkeitstheorie
101026 Zeitreihenanalyse
101029 Mathematische Statistik
102009 Computersimulation
509 Andere Sozialwissenschaften

JKU-Schwerpunkte

Computation in Informatics and Mathematics
SOWI Allgemein

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10.1080/07362994.2016.1224975

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Applications of Statistical Methods
Bitto-Nemling, A. (Forscher*in), Futschik, A. (Forscher*in), Hainy, M. (Forscher*in), Müller, W. (Forscher*in), Quatember, A. (Forscher*in), Tubikanec, I. (Forscher*in), Wagner, H. (Forscher*in), Waldl, H. (Forscher*in) & Duller, C. (Projektleiter*in)
01.01.2012 → 31.12.2032
Projekt: Anderes › Projekt aus Wissenschaftsgebiet der Forschungseinheit
Statistical Inference in Complex Situations
Hermann, P. (Forscher*in) & Futschik, A. (Projektleiter*in)
01.12.2014 → 31.12.2025
Projekt: Anderes › Projekt aus Wissenschaftsgebiet der Forschungseinheit

Dieses zitieren

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abstract = "The recent global financial crisis caused implementation of negative or close to zero interest rates. This situation implies necessity to study flexible and simplistic model of interest rate, which well accomodates oscillations, cycles and negative signs. In this paper we introduce novel nonlinear stochastic interest rate model, which as special case incorporates standard linear model of Parker. Many practical implications for finance and pensions are obtained.",

author = "Milan Stehlik and Jozef Kiselak and R. Potocky and Pavlina Jordanova",

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Generalized Interest Rate Dynamics and its impacts on finance and pensions

Abstract

UN SDGs

Wissenschaftszweige

JKU-Schwerpunkte

Zugriff auf Dokument

Andere Dateien und Links

Projekte

Applications of Statistical Methods

Statistical Inference in Complex Situations

Dieses zitieren