Listar por tema "Stochastic volatility model"
Mostrando ítems 1-1 de 1
-
From bond yield to macroeconomic instability: A parsimonious affine model
Elsevier (2017-11-01)We present a hybrid Heston model with a common stochastic volatility to describe government bond yield dynamics. The model is analytically tractable and, therefore, can be efficiently estimated using the maximum likelihood ...
