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DC Field | Value | Language |
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dc.contributor.author | Realdon, M | - |
dc.date.accessioned | 2020-12-21T12:54:51Z | - |
dc.date.available | 2020-12-21T12:54:51Z | - |
dc.date.issued | 2021-02-04 | - |
dc.identifier.citation | Realdon, M. (2021) 'Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)', Quantitative Finance, 21 (8), pp. 1365 - 1386. doi: 10.1080/14697688.2020.1865558. | en_US |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/22021 | - |
dc.description | Supplemental data: Supplemental data for this article can be accessed at https://doi.org/10.1080/14697688.2020.1865558. | - |
dc.format.extent | 1365 - 1386 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Routledge (Taylor & Francis Group) | en_US |
dc.rights | This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on 4 Feb 2021, available online: https://www.tandfonline.com/doi/full/10.1080/14697688.2020.1865558. | - |
dc.subject | squared Gaussian shocks | en_US |
dc.subject | discrete time affine term structure models | en_US |
dc.subject | stochastic volatility | en_US |
dc.subject | second order Esscher transform | en_US |
dc.subject | affine autoregressive gamma models | en_US |
dc.title | Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS) | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1080/14697688.2020.1865558 | - |
dc.relation.isPartOf | Quantitative Finance | - |
pubs.issue | 8 | - |
pubs.publication-status | Published | - |
pubs.volume | 21 | - |
dc.identifier.eissn | 1469-7696 | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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FullText.pdf | This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on 4 Feb 2021, available online: https://www.tandfonline.com/doi/full/10.1080/14697688.2020.1865558. | 316.22 kB | Adobe PDF | View/Open |
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