Estimate and forecasting of the Italian yield curve with multivariate GARCH models

zbMATH Open1189.91227MaRDI QIDQ3568964FDOQ3568964

Authors: Lucia Maggi, Eduardo Rossi, Carlo Giannini 

Publication date: 16 June 2010

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (3)

• A dynamic model of expected bond returns: A functional gradient descent approach
• Principal component regression in GAMLSS applied to Greek–German government bond yield spreads
• Title not available (Why is that?)

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