A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate
by Fabio Fornari and Antonio Mele
| Year of publication: |
2001
|
|---|---|
| Authors: | Fornari, Fabio ; Mele, Antonio |
| Publisher: |
Roma : Banca d'Italia |
| Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Theorie | Theory |
| Extent: | 68 S graph. Darst |
|---|---|
| Series: | Temi di discussione del Servizio Studi / Banca d'Italia. - Roma, ZDB-ID 2265664-9. - Vol. 397 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. [63] - 68 CEV = constant elasticity of variance |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001581711