Stochastic correlation and risk premia in term structure models

C-Tier

Journal: Journal of Empirical Finance

Year: 2016

Volume: 37

Issue: C

Pages: 59-78

Authors (3)

Chiarella, Carl Hsiao, Chih-Ying (not in RePEc) Tô, Thuy-Duong (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count