Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
macroeconomic fundamentals.
Key words: Term Structure Modelling; Yield Curve Risk; Stochastic Volatility;
Factor Models … structure modelling are equilibrium models as proposed by Vasicek (1977), Cox,
Ingersoll, and Ross (1985), Duffie and Kan (1996 … the modelling and forecast-
ing of interest rates and the term structure thereof. Popular theoretical approaches to
term …