The Dynamics of Short-Term Interest Rate Volatility Reconsidered
From MaRDI portal
Publication:4798670
DOI10.1023/A:1009714314989zbMath1029.91513MaRDI QIDQ4798670
Kees G. Koedijk, Christian C. P. Wolff, Peter C. Schotman, François Nissen
Publication date: 12 March 2003
Published in: Review of Finance (Search for Journal in Brave)
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity, Nonlinear interest rate dynamics and implications for the terms structure, Estimating continuous-time stochastic volatility models of the short-term interest rate, Direct estimation of the risk neutral factor dynamics of Gaussian term structure models, The surprise element: Jumps in interest rates., Testing for the Box-Cox parameter for an integrated process, Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions