scientific article; zbMATH DE number 1538072

MaRDI QIDQ4518933zbMATH OpenFDO

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

Publication date 18 January 2001

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)

Recommendations

• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Estimation of long memory in integrated variance
• scientific article; zbMATH DE number 1944316
• Estimating Long Memory in Volatility
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

Cited in

(1)

• Estimating the long rate and its volatility

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4518933)