A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market
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DOI: 10.1177/0972652714552040
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More about this item
Keywords
Illiquid market; interest rate yield curve; cubic spline; Vasicek (1977) model; CIR (1985) model; OLS; MLE;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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