Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility-Reference-Cited by-同舟云学术

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Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility

Published:2024-06 Issue: Volume:70 Page:102337
ISSN:0275-5319
Container-title:Research in International Business and Finance
language:en
Short-container-title:Research in International Business and Finance

Author:

Almeida Thiago Ramos^ORCID

Publisher

Elsevier BV

Reference57 articles.

1. Maximum likelihood estimation of stochastic volatility models;Aït-Sahalia;J. Financ. Econ.,2007

2. Arbitrage opportunities in arbitrage-free models of bond pricing;Backus;J. Bus. Econom. Statist.,1998

3. An evaluation of private forecasts of interest rate targets in Brazil;Baghestani;Econom. Lett.,2012

4. Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction;Barbedo;J. Econ. Bus.,2012

5. The pricing of commodity contracts;Black;J. Financ. Econ.,1976

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