A macro-finance term structure model with multivariate stochastic volatility (2016)
- Authors:
- Autor USP: LAURINI, MARCIO POLETTI - FEARP
- Unidade: FEARP
- DOI: 10.1016/j.iref.2016.03.008
- Subjects: MACROECONOMIA; TAXA DE JUROS; ECONOMIA; FINANÇAS; MODELOS PARA PROCESSOS ESTOCÁSTICOS
- Keywords: Macro-finance; Term structure of interest rates; Stochastic volatility; MCMC; Non-affine; Factor models
- Language: Inglês
- Imprenta:
- Source:
- Título do periódico: International Review of Economics and Finance
- ISSN: 1059-0560
- Volume/Número/Paginação/Ano: v. 44, p. 68-90, 2016
- Este periódico é de assinatura
- Este artigo NÃO é de acesso aberto
- Cor do Acesso Aberto: closed
-
ABNT
LAURINI, Marcio Poletti e CALDEIRA, João F. A macro-finance term structure model with multivariate stochastic volatility. International Review of Economics and Finance, v. 44, p. 68-90, 2016Tradução . . Disponível em: https://doi.org/10.1016/j.iref.2016.03.008. Acesso em: 19 abr. 2024. -
APA
Laurini, M. P., & Caldeira, J. F. (2016). A macro-finance term structure model with multivariate stochastic volatility. International Review of Economics and Finance, 44, 68-90. doi:10.1016/j.iref.2016.03.008 -
NLM
Laurini MP, Caldeira JF. A macro-finance term structure model with multivariate stochastic volatility [Internet]. International Review of Economics and Finance. 2016 ; 44 68-90.[citado 2024 abr. 19 ] Available from: https://doi.org/10.1016/j.iref.2016.03.008 -
Vancouver
Laurini MP, Caldeira JF. A macro-finance term structure model with multivariate stochastic volatility [Internet]. International Review of Economics and Finance. 2016 ; 44 68-90.[citado 2024 abr. 19 ] Available from: https://doi.org/10.1016/j.iref.2016.03.008 - Data cloning: maximum likelihood estimation of DSGE models
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Informações sobre o DOI: 10.1016/j.iref.2016.03.008 (Fonte: oaDOI API)
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