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Forecasting variance using stochastic volatility and GARCH

Hansson, Björn A.; Hördahl, Peter - 1998

Persistent link: https://www.econbiz.de/10000981021

Forecasting variance using stochastic volatility and GARCH

Hansson, Björn A.; Hördahl, Peter - In: The European journal of finance 11 (2005) 1, pp. 33-57

Persistent link: https://www.econbiz.de/10002812475

A joint econometric model of macroeconomic and term-structure dynamics

Hördahl, Peter; Tristani, Oreste; Vestin, David - In: Journal of econometrics 131 (2006) 1/2, pp. 405-444

Persistent link: https://www.econbiz.de/10003298603

Estimating the implied distribution of the future short-term interest rate using the Longstaff-Schwartz model

Hördahl, Peter - 2000

This paper proposes the use of the two-factor term-structure model of Longstaff and Schwartz (1992a,LS) to estimate the risk-neutral density (RND) of the futur short-term interest rate. The resulting RND can be interpreted as the market´s estimate of the density of the future short-term...

Persistent link: https://www.econbiz.de/10011583506