Zobrazeno 1 - 1
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pro vyhledávání: '"level-dependent conditional volatility"'
Autor:
Hansen, Anne Lundgaard
It is well-known that interest rates are extremely persistent, yet they are best modeled and understood as stationary processes. These properties are contradictory in the workhorse Gaussian affine term structure model in which persistent data often r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::88f6e3b2834f89c2df070bf0618f6792
https://hdl.handle.net/10419/227860
https://hdl.handle.net/10419/227860
