Time-dependent diffusion models for term structure dynamics

Keyphrases

• Structure Dynamics 100%
• Diffusion Model 100%
• Time-dependent Diffusion 100%
• Estimation Method 50%
• Price Volatility 50%
• Time Variation 50%
• Volatility 50%
• Semiparametric Model 50%
• Diffusion Process 50%
• Homogeneous Model 50%
• Nonparametric Estimation 50%
• Kernel Regression 50%
• Time-inhomogeneous 50%
• Nonparametric Methods 50%
• Goodness-of-fit 50%
• Interest Rates 50%
• Return Volatility 50%
• Treasury Bills 50%
• Volatility Function 50%
• Short-term Interest Rate 50%
• Heteroscedasticity 50%
• Interest Rate Models 50%
• Price Level 50%
• New Statistics 50%
• Sanders 50%
• Inhomogeneous Structure 50%
• Return Function 50%
• Time-varying Coefficient Function 50%
• Short Rate Model 50%
• Volatility Changes 50%

Mathematics

• Diffusion Model 100%
• Term Structure 100%
• Statistics 50%
• Goodness of Fit Test 50%
• Nonparametric Estimation 50%
• Diffusion Process 50%
• Coefficient Function 50%
• Heteroscedasticity 50%

Economics, Econometrics and Finance

• Returns Volatility 50%