Adaptive interest rate modelling

DOI10.1002/FOR.2431MaRDI QIDQ4687604zbMATH OpenOpenAlexFDO

Authors Mengmeng Guo, Wolfgang K. Härdle

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-029.pdf

zbMATH Keywords

CIR modeladaptive statistical techniqueslocal parametric approachtime homogeneous interval

Mathematics Subject Classification ID

Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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