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scientific article; zbMATH DE number 813756 - MaRDI portal

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Publication:4854100

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zbMath0830.62101MaRDI QIDQ4854100

Antonio Mele, Fabio Fornari

Publication date: 8 November 1995

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

term structure of interest rates closed-form solution two-factor model AR(1)--GARCH(1,1) model bivariate Itô process price of zero-coupon bonds

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes (62M99)

Related Items (1)

A comparative evaluation of alternative models of the term structure of interest rates

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