A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
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- Razvan Tudor, 2009. "Evidence of unspanned stochastic volatility in crude-oil market," Advances in Economic and Financial Research - DOFIN Working Paper Series 33, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
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More about this item
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-09 (All new papers)
- NEP-ECM-2006-07-09 (Econometrics)
- NEP-ETS-2006-07-09 (Econometric Time Series)
- NEP-FIN-2006-07-09 (Finance)
- NEP-FMK-2006-07-09 (Financial Markets)
- NEP-FOR-2006-07-09 (Forecasting)
- NEP-MAC-2006-07-09 (Macroeconomics)
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