Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
Year of publication: |
September 2004
|
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Authors: | Collin-Dufresne, Pierre |
Other Persons: | Jones, Christopher S. (contributor) ; Goldstein, Robert S. (contributor) |
Institutions: | National Bureau of Economic Research (contributor) |
Publisher: |
Cambridge, Mass : National Bureau of Economic Research |
Subject: | Anleihe | Bond | Zinsstruktur | Yield curve | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Zins | Interest rate |
Extent: | 1 Online-Ressource |
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Series: | NBER working paper series ; no. w10756 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers. |
Other identifiers: | 10.3386/w10756 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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