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Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
27 Feb 2018
RDP
2018-02
Research Discussion Paper – RDP 2018-02 Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia. Jonathan Hambur and Richard Finlay. February 2018. 1.62. MB. Supplementary information.
https://www.rba.gov.au/publications/rdp/2018/2018-02.html
Appendix D: Descriptive Statistics
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix D: Descriptive Statistics. Jonathan Hambur and Richard Finlay. February 2018. Download the Paper 1,673. KB. Table
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-d.html
Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
1 Feb 2018
RDP
2018-02
Research Discussion Paper – RDP 2018-02 Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia. Jonathan Hambur. Richard Finlay. February 2018. 1.62. MB. The authors would like to thank
https://www.rba.gov.au/publications/rdp/2018/2018-02/sections.html
Appendix E: Estimated Forward Rates for Reduced Sample
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix E: Estimated Forward Rates for Reduced Sample. Jonathan Hambur and Richard Finlay. February 2018. Download the
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-e.html
Appendix F: Estimated Forward Rates for the Unfiltered Model
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix F: Estimated Forward Rates for the Unfiltered Model. Jonathan Hambur and Richard Finlay. February 2018. Download
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-f.html
Conclusion
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia 6. Conclusion. Jonathan Hambur and Richard Finlay. February 2018. Download the Paper 1,673. KB. The model described in
https://www.rba.gov.au/publications/rdp/2018/2018-02/conclusion.html
Appendix B: The JSZ Normalisation
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix B: The JSZ Normalisation. Jonathan Hambur and Richard Finlay. February 2018. Download the Paper 1,673. KB. To
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-b.html
Appendix A: The Affine Term Structure Model
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix A: The Affine Term Structure Model. Jonathan Hambur and Richard Finlay. February 2018. Download the Paper 1,673.
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-a.html
Supplementary information for RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest…
1 Feb 2018
RDP
2018-02
Research Discussion Paper – RDP 2018-02 Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia. Jonathan Hambur and Richard Finlay. February 2018. Details of the supplementary information
https://www.rba.gov.au/publications/rdp/2018/2018-02/supplementary-information.html
Read Me File for RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in…
1 Feb 2018
RDP
2018-02
Research Discussion Paper – RDP 2018-02 Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia. Jonathan Hambur and Richard Finlay. February 2018. This ‘read me’ file contains details
https://www.rba.gov.au/publications/rdp/2018/2018-02/read-me.html