A joint model for the term structure of interest rates and realized volatility
Anne Lundgaard Hansen
| Year of publication: |
2023
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|---|---|
| Authors: | Hansen, Anne Lundgaard |
| Subject: | interest-rate risk | multivariate GARCH | non-linear Kalman filter | realized covariation | term structure modeling | yield curve covariation | Zinsstruktur | Yield curve | Volatilität | Volatility | Zustandsraummodell | State space model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Schätztheorie | Estimation theory | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014391449