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~accessRights:"free"
~isPartOf:"Tinbergen Institute Discussion Paper 14-071/III"
~person:"Alòs, Elisa"
~person:"Koopman, Siem Jan"
~person:"McAleer, Michael"
~subject:"Stochastic process"
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Tinbergen Institute Discussion Paper 14-071/III
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A Dynamic Yield Curve Model with Stochastic
Volatility
and Non-Gaussian Interactions : An Empirical Study of Non-Standard Monetary Policy in the Euro Area
Mesters, Geert
-
2014
model to be extended with stochastic
volatility
and heavy tailed disturbances. We develop a flexible estimation method for …
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