Linear-price term structure models
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DOI: 10.1016/j.jempfin.2013.07.004
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Cited by:
- Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018.
"A term structure model under cyclical fluctuations in interest rates,"
Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
- Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "A term structure model under cyclical fluctuations in interest rates," Documentos de Trabajo del ICAE 2019-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Damir Filipović & Sander Willems, 2016. "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series 16-38, Swiss Finance Institute.
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More about this item
Keywords
Linear term structure model; Hidden Markov chain; Finite dimensional dependence; Binding floor;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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