Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates

Accounting and Finance

Volumn 45, Issue 4, 2005, Pages 537-551

  Chan, Kam Fong ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Generalized autoregressive conditional heteroscedasticity; Jump diffusion; LEVELS effect; Short rate

Indexed keywords

EID: 31344438945     PISSN: 08105391     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2005.00153.x     Document Type: Article

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