Estimating continuous-time stochastic volatility models of the short-term interest rate
type: Item
instance of: scholarly article
title: Estimating continuous-time stochastic volatility models of the short-term interest rate
zbMATH Open document ID: 0925.62529
DOI: 10.1016/S0304-4076(96)01819-2
author: Torben G. Andersen
author: Jesper Lund
published in: Journal of Econometrics
publication date: 1997-08-12T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 1042471
zbMATH Keywords: short-term interest rate
zbMATH Keywords: stochastic volatility
zbMATH Keywords: continuous-time estimation
MaRDI profile type: MaRDI publication profile
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full work available at URL: s0304-4076(96)01819-2
OpenAlex ID: W2038509694
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description: scientific article; zbMATH DE number 1042471