Term structure forecasting in affine framework with time-varying volatility
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Publication:1697871
DOI10.1007/s10260-017-0378-yzbMath1441.62268OpenAlexW2603699454MaRDI QIDQ1697871
Publication date: 20 February 2018
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-017-0378-y
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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