Short rate dynamics and regime shifts
Year of publication: |
2009
|
---|---|
Authors: | Li, Haitao ; Xu, Yuewu |
Published in: |
International review of finance. - Richmond, Victoria : Wiley Publishing Asia, ISSN 1369-412X, ZDB-ID 2010708-0. - Vol. 9.2009, 3, p. 211-241
|
Subject: | Staatspapier | Government securities | Zins | Interest rate | Volatilität | Volatility | Zinsstruktur | Yield curve | Markov-Kette | Markov chain | USA | United States |
-
The implied volatility of US interest rates : evidence from callable US treasuries
Bliss, Robert R., (1995)
-
Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R., (2002)
-
Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R., (2000)
- More ...
-
Evaluating asset pricing models using the second Hansen-Jagannathan distance
Li, Haitao, (2010)
-
Survival bias and the equity premium puzzle
Li, Haitao, (2002)
-
Maximum likelihood estimation of time-inhomogeneous diffusions
Egorov, Alexej V., (2003)
- More ...