مرکز منطقه ای اطلاع رساني علوم و فناوري - Multivariate term structure models with level and heteroskedasticity effects

Title of article :

Multivariate term structure models with level and heteroskedasticity effects

Author/Authors :

Charlotte Christiansen، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2005

Pages :

From page :

1037

To page :

1057

Keywords :

Heteroskedasticity effects , Multivariate level-GARCH model , Level effects , Two-factor termstructure model

Journal title :

Journal of Banking and Finance

Serial Year :

2005

Journal title :

Journal of Banking and Finance

Record number :

193722

Link To Document :