Staying on top of the curve : a cascade model of term structure dynamics
Laurent E. Calvet, Adlai J. Fisher, and Liuren Wu
| 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 | Zinsderivat | Interest rate derivative | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0022109018000030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011929549