Stochastic interest rates under rational inattention
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DOI: 10.1016/j.najef.2020.101258
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Keywords
Term structure of interest rates; Rational inattention; Kalman-Bucy filtering; Option pricing; Investment timing;All these keywords.
JEL classification:
- D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
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