Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
DOI10.1080/07474930802473736zbMath1172.62037OpenAlexW2128034370MaRDI QIDQ3182771
Michael McAleer, Suhejla Hoti, Esfandiar Maasoumi, Daniel J. Slottje
Publication date: 16 October 2009
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://dea.uib.es/download?filename=w14.pdf
asymmetryindependenceriskforecastingdiversificationspecializationconditional volatilityconditional correlationdebt instrumentstreasury bills
Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84)
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Cites Work
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