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http://bura.brunel.ac.uk/handle/2438/22021
Title: | Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS) |
Authors: | Realdon, M |
Keywords: | squared Gaussian shocks;discrete time affine term structure models;stochastic volatility;second order Esscher transform;affine autoregressive gamma models |
Issue Date: | 4-Feb-2021 |
Publisher: | Routledge (Taylor & Francis Group) |
Citation: | Realdon, M. (2021) 'Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)', Quantitative Finance, 21 (8), pp. 1365 - 1386. doi: 10.1080/14697688.2020.1865558. |
Description: | Supplemental data: Supplemental data for this article can be accessed at https://doi.org/10.1080/14697688.2020.1865558. |
URI: | https://bura.brunel.ac.uk/handle/2438/22021 |
DOI: | https://doi.org/10.1080/14697688.2020.1865558 |
ISSN: | 1469-7688 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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File | Description | Size | Format | |
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FullText.pdf | This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on 4 Feb 2021, available online: https://www.tandfonline.com/doi/full/10.1080/14697688.2020.1865558. | 316.22 kB | Adobe PDF | View/Open |
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