Estimating yield spreads volatility using GARCH-type models
Jong-Min Kim, Dong H. Kim, Hojin Jung
| Year of publication: |
2021
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| Authors: | Kim, Jong-Min ; Kim, Dong H. ; Jung, Hojin |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 57.2021, p. 1-10
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| Subject: | Callable bonds | Garch-type | Noncallable bonds | Yield spreads volatility | Zinsstruktur | Yield curve | Volatilität | Volatility | Anleihe | Bond | Kapitaleinkommen | Capital income | Schätzung | Estimation | Theorie | Theory | Öffentliche Anleihe | Public bond | ARCH-Modell | ARCH model | Risikoprämie | Risk premium | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101396 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012822078