Stochastic Correlation and Risk Premia in Term Structure Models
Year of publication: |
2011-12-01
|
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Authors: | Chiarella, Carl ; Hsiao, Chih-Ying ; To, Thuy-Duong |
Institutions: | Finance Discipline Group, Business School |
Subject: | Term structure | Stochastic correlation | Risk premium | Wishart | Affine | Extended affine | Multidimensional CIR |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 298 5 pages long |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; C51 - Model Construction and Estimation |
Source: |
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