Modeling volatility and changes in the swap spread
Francis In; Rob Brown; Victor Fang
| Year of publication: |
2003
|
|---|---|
| Authors: | In, Francis Haeuck ; Brown, Rob ; Fang, Victor |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 12.2003, 5, p. 545-561
|
| Subject: | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätzung | Estimation | USA | United States |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001797475