haku: @indexterm Term structure of interest rates / yhteensä: 111
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Tekijä: | Bali, T. |
Otsikko: | Testing the empirical performance of stochastic volatility models of the short-term interest rate |
Lehti: | Journal of Financial and Quantitative Analysis
2000 : JUN, VOL. 35:2, p. 191-216 |
Asiasana: | EMPIRICAL RESEARCH STOCHASTIC PROCESSES TERM STRUCTURE OF INTEREST RATES |
Kieli: | eng |
Tiivistelmä: | The author introduces two-factor discrete time stochastic volatility models of the short-term interest rate to compare the relative performance of existing and alternative empirical specifications. The author develops a nonlinear asymmetric framework that allows for comparisons of non-nested models featuring conditional heteroskedasticity and sensitivity of the volatility process to interest rate levels. |
SCIMA