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20202026
most citedFractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions

50 citations · 119 across the 14 of their papers we have counts for

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q-fin.MF2026

Modeling interest rate swap volatility with GARCH processes

Michał Balcerek, Michał Wronka

We examine the conditional volatility dynamics of the USD 1Yx10Y forward swap rate using GARCH(1,1), GJR-GARCH(1,1), and a two-regime Markov-switching GARCH (MSGARCH) model. The an…