A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility
收藏NBER1999-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w7213
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资源简介：
This paper presents a general, nonlinear version of existing multifactor models, such as Longstaff and Schwartz (1992). The novel aspect of our approach is that rather than choosing the model parameterization out of thin air,' our processes are generated from the data using approximation methods for
提供机构：
美国国家经济研究局
创建时间：
1999-07-01
