An Equilibrium Model of the Term Structure with Stochastic Volatility
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 2000-13.
Date of creation: 2000
Date of revision:
Contact details of provider:
Postal: 33, boulevard du port - 95011 Cergy-Pontoise Cedex
Phone: 33 1 34 25 60 63
Fax: 33 1 34 25 62 33
Web page: http://thema.u-cergy.fr
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-10-22 (All new papers)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Fabio Fornari & Antonio Mele, 2001.
"Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations,"
Temi di discussione (Economic working papers)
396, Bank of Italy, Economic Research and International Relations Area.
- Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March.
- F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marion Oury).
If references are entirely missing, you can add them using this form.