Does realized volatility help bond yield density prediction?
Year of publication: |
April-June 2017
|
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Authors: | Shin, Minchul ; Zhong, Molin |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 2, p. 373-389
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Subject: | Dynamic factor model | Forecasting | Stochastic volatility | Term structure of interest rates | Dynamic Nelson-Siegel model | Zinsstruktur | Yield curve | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Schätzung | Estimation | Dynamische Wirtschaftstheorie | Economic dynamics |
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