Estimating the level of the Brazilian yield curve using the time-varying coefficient model GAS (2,2) with gamma distribution
Year of publication: |
2019
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Authors: | Rodrigues dos Santos, Daiane ; Ribeiro, Tiago Costa ; Sanfins, Marco Aurélio dos Santos |
Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 11.2019, 9, p. 1-11
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Subject: | GAS models | yield curves | long-term interest rate | Zinsstruktur | Yield curve | Brasilien | Brazil | Schätzung | Estimation | Zins | Interest rate | Schätztheorie | Estimation theory | Erdgasmarkt | Natural gas market |
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