Stochastic correlation and risk premia in term structure models
Carl Chiarella, Chih-Ying Hsiao and Thuy-Duong To
| Year of publication: |
2011
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|---|---|
| Authors: | Chiarella, Carl ; Hsiao, Chih-ying ; To, Thuy-duong |
| Publisher: |
Sydney : Quantitative Finance Research Centre, Univ. of Techn. |
| Subject: | Risikoprämie | Risk premium | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Zinsstruktur | Yield curve |
| Extent: | Online-Ressource (56 S., 1.01 Mb) graph. Darst. |
|---|---|
| Series: | Research paper / Quantitative Finance Research Centre, University of Technology Sydney. - Sydney : School of Finance and Economics, Univ. of Technology, ZDB-ID 2163446-4. - Vol. 298 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009564612