Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models (Q1591488)
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scientific article; zbMATH DE number 1547031
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models |
scientific article; zbMATH DE number 1547031 |
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Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models (English)
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17 August 2001
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swap rates
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GARCH
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stochastic volatility
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Markov chain Monte Carlo
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