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Optimal filter approximations for latent long memory stochastic volatility
Yap, Grace Lee Ching
- In:
Computational economics
56
(
2020
)
2
,
pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
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2
Conditional
Gaussian
models of the term structure of interest rates
Babbs, Simon H.
- In:
Finance and Stochastics
6
(
2002
)
3
,
pp. 333-353
We present a new family of yield curve models, termed "
Conditional
Gaussian
". It provides both simplicity and extreme …
Persistent link: https://www.econbiz.de/10005390734
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