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Search: subject:"Volatility structure"
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volatility structure
2
Equity shares
1
GARCH model
1
Heath
1
Jarrow and Morton models
1
Measurement error
1
Term structure of interest rates
1
event study
1
futures trading
1
lognormal volatility structure
1
multifactor model
1
nonparametric estimation
1
price effect
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single stock futures
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spot market
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volatility effect
1
volatility level
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volume effect
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English
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De Beer, Johannes Scheepers
1
Goldys, B.
1
Jeffrey, Andrew
1
Linton, Oliver Linton
1
Marx, J.
1
Musiela, M.
1
Nguyen, Thong
1
Phillips, Peter C.B.
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Sondermann, D.
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Cowles Foundation for Research in Economics, Yale University
1
University of Bonn, Germany
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Discussion Paper Serie B
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RePEc
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The impact of single stock futures on the South African equity market
De Beer, Johannes Scheepers
-
2008
. The volatility effect was the main focus of thisstudy with a GARCH(1,1) model establishing a
volatility
structure
(pattern …
Persistent link: https://www.econbiz.de/10009457745
Saved in:
2
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
Jeffrey, Andrew
;
Linton, Oliver Linton
;
Nguyen, Thong
; …
-
Cowles Foundation for Research in Economics, Yale University
-
2001
We develop a nonparametric estimator for the
volatility
structure
of the zero coupon yield curve in the Heath …
Persistent link: https://www.econbiz.de/10005464012
Saved in:
3
Lognormality of Rates and Term Structure Models
Goldys, B.
;
Musiela, M.
;
Sondermann, D.
-
University of Bonn, Germany
-
1996
A term structure model with lognormal type
volatility
structure
is proposed. The Heath, Jarrow and Morton (HJM …
Persistent link: https://www.econbiz.de/10004968197
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