مرکز منطقه ای اطلاع رساني علوم و فناوري - Regime-switching stochastic volatility and short-term interest rates

Title of article :

Regime-switching stochastic volatility and short-term interest rates

Author/Authors :

Madhu Kalimipalli، نويسنده , , Raul Susmel، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2004

Pages :

From page :

309

To page :

329

Keywords :

Short-term interest rates , Stochastic Volatility , Regime switching , MCMC methods , GARCH models

Journal title :

Journal of Empirical Finance

Serial Year :

2004

Journal title :

Journal of Empirical Finance

Record number :

130768

Link To Document :