Open AccessEstimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
Author(s) -
Drew Creal,
Jing Cynthia Wu
Publication year - 2014
Language(s) - English
Resource type - Reports
DOI - 10.3386/w20115
Subject(s) - affine transformation , term (time) , stochastic volatility , econometrics , volatility (finance) , sabr volatility model , estimation , affine term structure model , economics , mathematics , financial economics , computer science , yield curve , physics , quantum mechanics , pure mathematics , management