Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work (Q5012738)
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scientific article; zbMATH DE number 7433703
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work |
scientific article; zbMATH DE number 7433703 |
Statements
Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work (English)
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25 November 2021
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ARIMA
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CIR model
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cluster volatility and jumps fitting
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Hull and White model
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interest rate forecasting
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