Pages that link to "Item:Q4798670"
From MaRDI portal
The following pages link to The Dynamics of Short-Term Interest Rate Volatility Reconsidered (Q4798670):
Displaying 10 items.
- A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity (Q946272) (← links)
- Nonlinear interest rate dynamics and implications for the terms structure (Q1126499) (← links)
- Estimating continuous-time stochastic volatility models of the short-term interest rate (Q1362071) (← links)
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models (Q1410572) (← links)
- Term structure forecasting in affine framework with time-varying volatility (Q1697871) (← links)
- The surprise element: Jumps in interest rates. (Q1858907) (← links)
- Testing for the Box-Cox parameter for an integrated process (Q1942730) (← links)
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (Q2480221) (← links)
- A multiplicative model for volume and volatility (Q4994404) (← links)
- Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data (Q5037041) (← links)
