Modeling interest rate volatility : a Realized GARCH approach
Shuairu Tian, Shigeyuki Hamori
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Tian, Shuairu ; Hamori, Shigeyuki |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, p. 158-171
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| Subject: | Short-term interest rate | Realized GARCH | High-frequency data | Volatility | ARCH-Modell | ARCH model | Volatilität | Zins | Interest rate | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.09.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011545170