Interest rates factor model
Year of publication: |
2011
|
---|---|
Authors: | Lee, Sangwook ; Kim, Min Jae ; Kim, Soo Yong |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 390.2011, 13, p. 2531-2548
|
Publisher: |
Elsevier |
Subject: | Interest rates term structure | Spectral analysis | Tail dependence | Mean reverting process | Stochastic volatility model |
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