The Dynamics of Short-Term Interest Rate Volatility Reconsidered
- 1 April 1997
- journal article
- Published by Oxford University Press (OUP) in European Finance Review
- Vol. 1 (1) , 105-130
- https://doi.org/10.1023/a:1009714314989
Abstract
In this paper we present and estimate a model of short-term interest rate volatility that encompasses both the level effect of Chan, Karolyi, LongstaKeywords
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