Does realized volatility help bond yield density prediction?
Minchul Shin, Molin Zhong
| Year of publication: |
April-June 2017
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| Authors: | Shin, Minchul ; Zhong, Molin |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 2, p. 373-389
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| Subject: | Dynamic factor model | Forecasting | Stochastic volatility | Term structure of interest rates | Dynamic Nelson-Siegel model | Zinsstruktur | Yield curve | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Kapitaleinkommen | Capital income | Anleihe | Bond | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2016.11.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011922068