Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model (Q2349619)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model |
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Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model (English)
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17 June 2015
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Lévy process
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NIG process
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interest rate volatility
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GARCH
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COGARCH
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indirect inference method
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