A GARCH approach to model short-term interest rates : evidence from Spanish economy
Year of publication: |
2022
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Authors: | Sánchez García, Javier ; Cruz Rambaud, Salvador |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 2, p. 1621-1632
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Subject: | econometrics | financial and monetary economics | GARCH models | macroeconomics | real interest rates | time series analysis | Spanien | Spain | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Zins | Interest rate | Realzins | Real interest rate | Zinsstruktur | Yield curve | Volatilität | Volatility |
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