Staying on top of the curve : a cascade model of term structure dynamics
Year of publication: |
April 2018
|
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Authors: | Calvet, Laurent E. ; Fisher, Adlai ; Wu, Liuren |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 53.2018, 2, p. 937-963
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Subject: | Term structure of interest rates | cascade model | dimension-invariance | interest rate forecasting | yield curve stripping | forward rate correlations | Zinsstruktur | Yield curve | Theorie | Theory | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
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