Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10012014690
We develop the Cox, Ingersoll and Ross (1985b) “technological uncertainty variable” in terms of a skewed Student “t” probability density with mean reverting sample paths and time varying volatility so that it can accommodate negative real interest rates. The Fokker-Planck equation is...
Persistent link: https://www.econbiz.de/10012972405