Can unspanned stochastic volatility models explain the cross section of bond volatilities?
Scott Joslin
| Year of publication: |
April 2018
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|---|---|
| Authors: | Joslin, Scott |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 64.2018, 4, p. 1707-1726
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| Subject: | unspanned stochastic volatility | identification | interest rates | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Theorie | Theory | Anleihe | Bond | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2016.2623 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011855690