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Multivariate term structure models with level and heteroskedasticity effects · Study

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ArticleMultivariate term structure models with level and heteroskedasticity effects

Charlotte Christiansen2004

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Articlegreen2004

Multivariate term structure models with level and heteroskedasticity effects

Charlotte Christiansen

27 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1993Measuring and Testing the Impact of News on Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

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Year2004

Typearticle

Published2004-08-10

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2003.11.004

openalex_workW1536751963

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