Spencer, Peter D. (contributor) - 2007
Volatility in a Macro-Finance Model of the US Term
Structure of Interest Rates 1961-2004.
By
Peter Spencer
Stochastic … Volatility in a Macro-Finance
Model of the US Term Structure of
Interest Rates 1961-2004.
Peter Spencer
∗
University of York …
thechart,whiletheshortermaturityyieldsareshownatthefront.
These inflation and interest rates all exhibit a high degree of …