Advanced search

Found 1 essay matching the above criteria.

1. 1. Estimation of a Liquidity Premium for Swedish Inflation Linked Bonds

   University essay from KTH/Matematisk statistik

   Author : Magnus Bergroth; Anders Carlsson; [2014]
   Keywords : Inflation linked yields; State space model; Kalman filter; Maximum likelihood estimation;

   Abstract : It is well known that the inflation linked breakeven inflation, defined as the difference between a nominal yield and an inflation linked yield, sometimes is used as an approximation of the market’s inflation expectation. D’Amico et al. (2009, [5]) show that this is a poor approximation for the US market. READ MORE