Modeling Volatility in Dynamic Term Structure Models
Author:
Publisher
Elsevier BV
Reference54 articles.
1. Quadratic term structure models: Theory and evidence;D H Ahn;Review of Financial Studies,2002
2. Purebred or hybrid?: Reproducing the volatility in term structure dynamics;D H Ahn;Journal of Econometrics,2003
3. A parametric nonlinear model of term structure dynamics;D H Ahn;Review of Financial Studies,1999
4. Do bonds span volatility risk in the US Treasury market? A speci?cation test for a� ne monetary policy regimes and the term structure of interest rates;T Andersen;Journal of Finance,2010
5. Regime switches in interest rates;A Ang;Journal of Business & Economic Statistics,2002
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