Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility
Year of publication: |
2024
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Authors: | Almeida, Thiago Ramos |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 2165501-7. - Vol. 70.2024, 1, Art.-No. 102337, p. 1-14
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Subject: | Financial economics | Interest rate | Option pricing | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Zinsderivat | Interest rate derivative | Schätztheorie | Estimation theory | Schätzung | Estimation |
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