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

Department of Data Acquisition and Data Quality

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	178-190
Number of pages	13
Journal	Stochastic Analysis and Applications
Volume	35
Issue number	1
DOIs	https://doi.org/10.1080/07362994.2016.1224975
Publication status	Published - 02 Jan 2017

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 1 No Poverty
SDG 10 Reduced Inequalities

Fields of science

101018 Statistics
101024 Probability theory
101026 Time series analysis
101029 Mathematical statistics
102009 Computer simulation
509 Other Social Sciences

JKU Focus areas

Computation in Informatics and Mathematics
Social and Economic Sciences (in general)

Access to Document

10.1080/07362994.2016.1224975

Cite this

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title = "Generalized Interest Rate Dynamics and its impacts on finance and pensions",

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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AU - Stehlik, Milan

AU - Kiselak, Jozef

AU - Potocky, R.

AU - Jordanova, Pavlina

PY - 2017/1/2

Y1 - 2017/1/2

N2 - 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.

AB - 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.

UR - http://ww.ifas.jku.at

UR - https://www.scopus.com/pages/publications/84997611037

U2 - 10.1080/07362994.2016.1224975

DO - 10.1080/07362994.2016.1224975

M3 - Article

SN - 0736-2994

VL - 35

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JO - Stochastic Analysis and Applications

JF - Stochastic Analysis and Applications

IS - 1

ER -

Generalized Interest Rate Dynamics and its impacts on finance and pensions

Abstract

UN SDGs

Fields of science

JKU Focus areas

Access to Document

Other files and links

Applications of Statistical Methods

Statistical Inference in Complex Situations

Cite this

Generalized Interest Rate Dynamics and its impacts on finance and pensions

Abstract

UN SDGs

Fields of science

JKU Focus areas

Access to Document

Other files and links

Projects

Applications of Statistical Methods

Statistical Inference in Complex Situations

Cite this