A state dependent interest rate model － a combination of GARCH(1,1) and varying coefficient model.
碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === Abstract The interest rate model could be divided into two categories: equilibrium models and no-arbitrage models. The foundation of this paper is the theory of equilibrium model. The state-dependent variables are introduced to both the Vasicek model and the CIR...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/55745406189684991780 |