Stochastic correlation and risk premia in term structure models
Carl Chiarella, Chih-Ying Hsiao, Thuy-Duong Tô
| Year of publication: |
June 2016
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|---|---|
| Authors: | Chiarella, Carl ; Hsiao, Chih-ying ; Tô, Thuy-Duong |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 37.2016, p. 59-78
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| Subject: | Term structure | Stochastic correlation | Risk premium | Wishart | Extended affine | Multidimensional CIR | Zinsstruktur | Yield curve | Risikoprämie | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | CAPM | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.02.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011662911