A Stochastic Volatility Model and Inference for the Term Structure of Interest
Year of publication: |
2007-04-25
|
---|---|
Authors: | Liu, Peng |
Other Persons: | A. Ronald Gallant (contributor) ; Denis Pelletier (contributor) ; William H. Swallow (contributor) ; Peter Bloomfield (contributor) ; David Dickey (contributor) |
Subject: | term structure of interest rates | multivariate stochastic volatility | yield curve model | interest rate dynamics | non-linear non-Gaussian State-Space Model |
-
The financial crisis and the changing dynamics of the yield curve
Bech, Morten L., (2012)
-
Zoricic, Davor, (2013)
-
Ishii, Hokuto, (2018)
- More ...
-
Credit Cycle, Credit Risk and Business Conditions
He, Xiaofeng, (2001)
-
Seasonal Unit Root Tests: A Comparison
Zhang, Qianyi, (2008)
-
Canonical Correlations and Instrument Selection in Econometrics
Jana, Kalidas, (2005)
- More ...