Estimation of affine term structure models with spanned or unspanned stochastic volatility

DOI10.1016/j.jeconom.2014.10.003zbMath1331.91202OpenAlexW3123890123MaRDI QIDQ2343761

Jing Cynthia Wu, Drew D. Creal

Publication date: 6 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.10.003

zbMATH Keywords

estimationaffine term structure modelsunspanned stochastic volatility

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

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