Modelling and Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Originalsprog	Engelsk
Tidsskrift	Journal of Empirical Finance
Vol/bind	18
Udgave nummer	4
Sider (fra-til)	692-710
Antal sider	19
ISSN	0927-5398
Status	Udgivet - sep. 2011

SDU link

@article{5067ca3c8b4a4bed9f89b23d1fb79047,

title = "Modelling and Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach",

keywords = " Interest rates; GARCH modelling; Nonparametric method; Volatility estimation; Forecasts",

author = "Hou, \{Ai Jun\} and Sandy Suardi",

year = "2011",

month = sep,

language = "English",

volume = "18",

pages = "692--710",

journal = "Journal of Empirical Finance",

issn = "0927-5398",

publisher = "Elsevier",

number = "4",

}

TY - JOUR

T1 - Modelling and Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach

AU - Hou, Ai Jun

AU - Suardi, Sandy

PY - 2011/9

Y1 - 2011/9

KW - Interest rates; GARCH modelling; Nonparametric method; Volatility estimation; Forecasts

M3 - Journal article

SN - 0927-5398

VL - 18

SP - 692

EP - 710

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

IS - 4

ER -