Dynamic characteristics of expectations of short-term interest rate and a generalized Vasicek model-Reference-Cited by-同舟云学术

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Dynamic characteristics of expectations of short-term interest rate and a generalized Vasicek model

Published:2024-05 Issue:9 Volume:10 Page:e30206
ISSN:2405-8440
Container-title:Heliyon
language:en
Short-container-title:Heliyon

Author:

Guan Yu,Fang Zhongzheng^ORCID,Wang Xingshuai,Wang Xi,Yu Ting

Publisher

Elsevier BV

Reference28 articles.

1. An equilibrium characterization of the term structure;Vasicek;J. Financ. Econ.,1977

2. Stochastic volatility with an Ornstein–Uhlenbeck process: an extension;Schöbel;Rev. Finance,1999

3. A multivariate model of the term structure;Langetieg;J. Finance,1980

4. Interest rate volatility and the term structure: a two-factor general equilibrium model;Longstaff;J. Finance,1992

5. A yield-factor model of interest rates;Duffie;Math. Finance,1996

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