Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
type: Item
instance of: scholarly article
title: Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
zbMATH Open document ID: 1045.62108
DOI: 10.1016/S0304-4076(03)00106-4
author: Dong-Hyun Ahn
author: Robert F. Dittmar
author: A. Ronald Gallant
author: Bin Gao
published in: Journal of Econometrics
publication date: 2003-08-07T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 1961854
zbMATH Keywords: Term structure models
zbMATH Keywords: Yield curve
zbMATH Keywords: Affine models
zbMATH Keywords: Quadratic models
zbMATH Keywords: Inverted square root models
zbMATH Keywords: Efficient method of moments
zbMATH Keywords: Simulation estimators
MaRDI profile type: Publication
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cites work: An Intertemporal Capital Asset Pricing Model
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full work available at URL: s0304-4076(03)00106-4
OpenAlex ID: W2116739845
description: scientific article; zbMATH DE number 1961854