Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Kris Jacobs; Lotfi Karoui
| Year of publication: |
2009
|
|---|---|
| Authors: | Jacobs, Kris ; Karoui, Lotfi |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 91.2009, 3, p. 288-318
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| Subject: | Zinsstruktur | Yield curve | Staatspapier | Government securities | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | USA | United States | 1991-2005 | 1970-2003 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003833577