Revisiting the shape of the yield curve: the effect of interest rate volatility.
Year of publication: |
2002-03-13
|
---|---|
Authors: | Christiansen, Charlotte ; Lund, Jesper |
Institutions: | Ehrvervøkonomisk Institut, Institut for Økonomi |
Subject: | Multivariate GARCH-M | Short-Rate Volatility | Yield Curve Curvature | Yield Curve Shape | Yield Curve Slope |
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