The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach

Chiarella, C Hung, H To, T-D

Permalink

Publication Type:: Journal Article
Citation:: COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2009, 53 (6), pp. 2075 - 2088
Issue Date:: 2009-04-15

Open Access

Copyright Clearance Process

This item is open access.

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	Hung, H	en_US
dc.contributor.author	To, T-D	en_US
dc.date.issued	2009-04-15	en_US
dc.identifier.citation	COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2009, 53 (6), pp. 2075 - 2088	en_US
dc.identifier.issn	0167-9473	en_US
dc.identifier.uri	http://hdl.handle.net/10453/8322
dc.relation.ispartof	COMPUTATIONAL STATISTICS & DATA ANALYSIS	en_US
dc.relation.isbasedon	10.1016/j.csda.2008.07.036	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach	en_US
dc.type	Journal Article
utslib.citation.volume	6	en_US
utslib.citation.volume	53	en_US
utslib.for	0104 Statistics	en_US
utslib.for	0802 Computation Theory and Mathematics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	open_access
pubs.issue	6	en_US
pubs.publication-status	Published	en_US
pubs.volume	53	en_US

Please use this identifier to cite or link to this item: