Volatility term structure modeling using Nelson-Siegel model
Year of publication: |
[2018]
|
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Authors: | Malinska, Barbora ; Barunik, Jozef |
Publisher: |
Prague : Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague |
Subject: | Realized volatility | Term structure | Dynamic Nelson-Siegel model | Highfrequency data | Theorie | Theory | Volatilität | Volatility | Zinsstruktur | Yield curve | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
Extent: | 1 Online-Ressource (circa 36 Seiten) Illustrationen |
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Series: | IES working paper. - Praha : [Verlag nicht ermittelbar], ZDB-ID 2408568-6. - Vol. 2018, 17 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/203202 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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