Markov-switching and stochastic volatility diffusion models of short-term interest rates
Daniel R. Smith
| Year of publication: |
2002
|
|---|---|
| Authors: | Smith, Daniel R. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 20.2002, 2, p. 183-197
|
| Subject: | Zins | Interest rate | Zinsstruktur | Yield curve | Markov-Kette | Markov chain | Volatilität | Volatility | Theorie | Theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation | USA | United States | 1964-1996 |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Journal of business & economic statistics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001660372