Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models
type: Item
instance of: scholarly article
title: Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models
zbMATH Open document ID: 0966.62066
DOI: 10.1007/BF02925760
author: Hans Boscher
author: Eva-Maria Fronk
author: Iris Pigeot-Kübler
published in: Statistical Papers
publication date: 2001-08-17T00:00:00Z
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1547031
zbMATH Keywords: swap rates
zbMATH Keywords: GARCH
zbMATH Keywords: stochastic volatility
zbMATH Keywords: Markov chain Monte Carlo
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1547031