Term structure forecasting in affine framework with time-varying volatility (Q1697871)
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scientific article; zbMATH DE number 6841383
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Term structure forecasting in affine framework with time-varying volatility |
scientific article; zbMATH DE number 6841383 |
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Term structure forecasting in affine framework with time-varying volatility (English)
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20 February 2018
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latent factors model
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state-space model
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Kalman filter
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EGARCH
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forecasting
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bond market
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