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Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions.

Turan G. Bali
Published in: Ann. Oper. Res. (2007)
Keyphrases
  • heavy tailed
  • gaussian distribution
  • highly skewed
  • data sets
  • dynamic model
  • neural network
  • long term
  • magnetic field
  • power law
  • financial crisis