Showing 1 - 2 of 2
We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor models with stochastic volatility. The resulting...
Persistent link: https://www.econbiz.de/10011499535
Persistent link: https://www.econbiz.de/10014284236