haku: @author Dewachter, H. / yhteensä: 6
viite: 6 / 6
« edellinen | seuraava »
| Tekijä: | Dewachter, H. |
| Otsikko: | Modelling interest rate volatility: regime switches and level links |
| Lehti: | Weltwirtschaftliches Archiv
1996 : VOL. 132:2, p. 236-258 |
| Asiasana: | ECONOMICS INTEREST RATES MODELS |
| Kieli: | eng |
| Tiivistelmä: | Nonlinear structures abound in the short-term interest rate process. The dominant structures have been found in the volatility of the short-term interest rate. The purpose of this paper is twofold. First, it aims at assessing the empirical validity and sufficiency of each class of (empirical) models. The coexistence of alternative and nonnested volatility models raises confusion about the usefulness of either model. Obviously, the prediction of future volatility in the interest rate process depends crucially on the channels by which volatility is modelled. |
« edellinen | seuraava »
SCIMA