Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Turan G. Bali
| Year of publication: |
2000
|
|---|---|
| Authors: | Bali, Turan G. |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 20.2000, 8, p. 717-751
|
| Subject: | Zins | Interest rate | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation | Staatspapier | Government securities | USA | United States | 1957-1997 |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: The journal of futures markets |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001523755