This document describes a model that generates financial scenarios. The term structure is modeled by imposing certain long-run restrictions on the zero lower bound model in Wu and Xia (2016). The inflation rate and the return on the MSCI World Index are modeled using an MA(1)-model and a GARCH-model, respectively.
|Place of Publication||Tilburg|
|Number of pages||20|
|Publication status||Published - 14 Dec 2017|