Validating forecasts of the joint probability density of bond yields : can affine models beat random walk?
Alexei V. Egorov, Yongmiao Hong, Haitao Li
| Year of publication: |
2006
|
|---|---|
| Authors: | Egorov, Alexej V. ; Hong, Yongmiao ; Li, Haitao |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 135.2006, 1/2, p. 255-284
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| Subject: | Prognoseverfahren | Forecasting model | Zinsstruktur | Yield curve | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
| 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/10003376084