Modeling volatility in dynamic term structure models
Hitesh Doshi, Kris Jacobs, Rui Liu
| Year of publication: |
2024
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|---|---|
| Authors: | Doshi, Hitesh ; Jacobs, Kris ; Liu, Rui |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 1460384-6. - Vol. 161.2024, Art.-No. 103926, p. 1-21
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| Subject: | Term structure | Affine models | Stochastic volatility | GARCH | Treasury futures options | Zinsstruktur | Yield curve | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Staatspapier | Government securities |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2024.103926 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015075688