Visualitza Departament: Economia by font "European Journal of Operational Research (2017), v. 262, issue 3"
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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 ...