Term structure forecasting in affine framework with time-varying volatility

Author:

Ullah Wali

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference32 articles.

1. Ang A, Piazzesi M (2003) A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. J Monet Econ 50:745–787

2. Balduzzi P, Das SR, Foresi S, Sundaram RK (1996) A simple approach to three factor affine term structure models. J Fixed Income 6:43–53

3. Black, F (1976) Studies of stock price volatility changes. In: Proceedings of the 1976 Meeting of the American Statistical Association, business and economics statistics section, pp 177–181

4. Brenner R, Harjes R, Kroner K (1996) Another look at models of the short-term interest rate. J Financ Quant Anal 31:85–107

5. Chen L (1996) Stochastic mean and stochastic volatility: a three-factor model of the term structure of interest rates and its applications to the pricing of interest rate derivatives. Blackwell Publishers, Oxford

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