Stochastic volatility in a macro-finance model of the U.S. term structure of interest rates 1961-2004

Journal of Money, Credit and Banking

Volumn 40, Issue 6, 2008, Pages 1177-1215

  Spencer, Peter D ^a  

^a UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Affine term structure model; Macro finance; Stochastic volatility; Unit root

Indexed keywords

EID: 49649091829     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2008.00153.x     Document Type: Article

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