scientific article; zbMATH DE number 1538072

zbMATH Open0960.91039MaRDI QIDQ4518933FDOQ4518933

Alex Taylor, William R. M. Perraudin, Rüdiger Kiesel

Publication date: 18 January 2001

Title of this publication is not available (Why is that?)

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zbMATH Keywords

interest rate volatilityvariance ratiofirst-difference stationary processMonte Carlo illustrations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Cited In (1)

• Estimating the long rate and its volatility

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