Modelling and forecasting short-term interest rate volatility : a semiparametric approach
Ai Jun Hou; Sandy Suardi
| Year of publication: |
2011
|
|---|---|
| Authors: | Hou, Ai Jun ; Suardi, Sandy |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 4, p. 692-710
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| Subject: | Interest rates | GARCH modelling | Nonparametric method | Volatility estimation | Forecasts | Volatilität | Volatility | Zins | Interest rate | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Schätztheorie | Estimation theory | Zinsstruktur | Yield curve | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10009306533