Stochastic volatility in a macro-finance model of the US term structure of interest rates 1961 - 2004
Year of publication: |
2008
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Authors: | Spencer, Peter D. |
Published in: |
Journal of money, credit and banking : JMCB. - Malden, Mass. [u.a.] : Wiley-Blackwell, ISSN 0022-2879, ZDB-ID 218362-6. - Vol. 40.2008, 6, p. 1177-1215
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Subject: | Zinsstruktur | Yield curve | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | USA | United States | 1961-2004 |
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