An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
Year of publication: |
2013-10-14
|
---|---|
Authors: | Niu, Linlin |
Subject: | Term structure | Stochastic volatility | Wishart Autoregressive process |
-
Bond Market Exposures to Macroeconomic and Monetary Policy Risks
Song, Dongho, (2014)
-
A Euro Area Term Structure Model with Time Varying Exposures
Tornese, Tommaso, (2023)
-
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine, (2018)
- More ...
-
US and Chinese yield curve responses to RMB exchange rate policy shocks
Hong, Zhiwu, (2019)
-
An adaptive approach to forecasting three key macroeconomic variables for transitional China
Niu, Linlin, (2015)
-
Co-movements of Shanghai and New York Stock prices by time-varying regressions
Chow, Gregory C., (2011)
- More ...