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Estimation of market prices of risks in the GARCH diffusion model 期刊论文
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2018, 卷号: 31, 期号: 1, 页码: 15-36
Authors:  Wu, Xinyu;  Zhou, Hailin;  Wang, Shouyang
Favorite  |  View/Download:16/0  |  Submit date:2018/07/30
Market prices of risks  GARCH diffusion model  option pricing  efficient importance sampling  maximum likelihood  particle filter  
Estimation of market prices of risks in the GARCH diffusion model 期刊论文
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2018, 卷号: 31, 期号: 1, 页码: 15
Authors:  Wu, Xinyu;  Zhou, Hailin;  Wang, Shouyang
Favorite  |  View/Download:8/0  |  Submit date:2019/12/31
Modeling the dynamics of Chinese spot interest rates 期刊论文
JOURNAL OF BANKING & FINANCE, 2010, 卷号: 34, 期号: 5, 页码: 1047-1061
Authors:  Hong, Yongmiao;  Lin, Hai;  Wang, Shouyang
Favorite  |  View/Download:4/0  |  Submit date:2018/07/30
Spot rate models  Term structure of interest rates  Market segmentation  Nonparametric specification tests