Can interest rate volatility be extracted from the cross section of bond yields?
Year of publication: |
2009
|
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Authors: | Collin-Dufresne, Pierre ; Goldstein, Robert S. ; Jones, Christopher S. |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 94.2009, 1, p. 47-66
|
Subject: | Zinsstruktur | Yield curve | Volatilität | Volatility | Anleihe | Bond | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Risikoprämie | Risk premium |
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