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- catalog abstract "This paper develops models of the term structure when the short rate follows a jump-diffusion process. An empirical implementation demonstrates that jump-diffusions better explain interest rate behavior than pure diffusion models. The fit is shown to be improved by an augmented jump-diffusion time varying volatility model proposed here. The effect of skewness and kurtosis on the jump activity are explored with an analysis of changes in Federal Reserve target rates and their relationship to the term structure.".
- catalog contributor b8643662.
- catalog created "1994.".
- catalog date "1994".
- catalog date "1994.".
- catalog dateCopyrighted "1994.".
- catalog description "Includes bibliographical references (p. 37-40).".
- catalog description "This paper develops models of the term structure when the short rate follows a jump-diffusion process. An empirical implementation demonstrates that jump-diffusions better explain interest rate behavior than pure diffusion models. The fit is shown to be improved by an augmented jump-diffusion time varying volatility model proposed here. The effect of skewness and kurtosis on the jump activity are explored with an analysis of changes in Federal Reserve target rates and their relationship to the term structure.".
- catalog extent "40 p. :".
- catalog isPartOf "Working paper (Harvard University. Graduate School of Business Administration. Division of Research) ; HBS 95-034.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 95-034".
- catalog issued "1994".
- catalog issued "1994.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "Jump-diffusion processes and the bond markets / Sanjiv R. Das.".
- catalog type "text".