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: 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: 16 out. 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 out. 16 ] 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 out. 16 ] Available from: https://doi.org/10.1016/j.iref.2016.03.008 - Data cloning: maximum likelihood estimation of DSGE models
- A spatio-temporal approach to estimate patterns of climate change
- Arbitrage in the term structure of interest rates: a Bayesian approach
- A spatial error model with continuous random effects and an application to growth convergence
- Generalized moment estimation of stochastic differential equations
- The stochastic volatility model with random jumps and its application to BRL/USD exchange rate
- The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil
- Implicit inflation and risk premiums in the brazilian fixed income market
- Brazilian stock market bubble in the 2010s
- A noisy principal component analysis for forward rate curves
Informações sobre o DOI: 10.1016/j.iref.2016.03.008 (Fonte: oaDOI API)
How to cite
A citação é gerada automaticamente e pode não estar totalmente de acordo com as normas