Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions.
Resource URI: https://dblp.l3s.de/d2r/resource/publications/journals/anor/Bali07
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2007
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Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions.
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151-178
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Modeling interest rates; Stochastic volatility; GARCH; Diffusions; Interest rate options
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Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions.
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