Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data-Reference-Cited by-同舟云学术

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Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data

Published:2019-09-15 Issue:6 Volume:47 Page:1128-1143
ISSN:0266-4763
Container-title:Journal of Applied Statistics
language:en
Short-container-title:Journal of Applied Statistics

Author:

Hassani Hossein¹^ORCID,Yeganegi Mohammad Reza²,Cuñado Juncal³,Gupta Rangan⁴

Affiliation:

1. Research institute for energy management and planning (RIEMP), University of Tehran, Tehran, Iran

2. Department of Accounting, Islamic Azad University Central Tehran Branch, Tehran, Iran

3. University of Navarra, School of Economics, Pamplona, Spain

4. Department of Economics, University of Pretoria, Pretoria, South Africa

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/02664763.2019.1666093

Reference30 articles.

1. Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate

2. Modeling correlated market and credit risk in fixed income portfolios

3. Day-to-Day Monetary Policy and the Volatility of the Federal Funds Rate

4. Irreversibility, Uncertainty, and Cyclical Investment

5. Generalized autoregressive conditional heteroskedasticity

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