Inflation modelling for long-term liability driven investments
Includes bibliographical references. === A regime-switching model allows a process to switch randomly between different regimes which have different parameter estimates. This study investigates the use of a two regime-switching model for inflation in South Africa as a means of determining a hedging...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/18602 |