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http://bura.brunel.ac.uk/handle/2438/22021| Title: | Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS) |
| Authors: | Realdon, M |
| Keywords: | squared Gaussian shocks;discrete time affine term structure models;stochastic volatility;second order Esscher transform;affine autoregressive gamma models |
| Issue Date: | 4-Feb-2021 |
| Publisher: | Routledge (Taylor & Francis Group) |
| 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. |
| Description: | Supplemental data: Supplemental data for this article can be accessed at https://doi.org/10.1080/14697688.2020.1865558. |
| URI: | https://bura.brunel.ac.uk/handle/2438/22021 |
| DOI: | https://doi.org/10.1080/14697688.2020.1865558 |
| ISSN: | 1469-7688 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 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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