Affine and quadratic models with many factors and few parameters
Year of publication: |
2020
|
---|---|
Authors: | Realdon, Marco |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 26.2020, 11, p. 1019-1046
|
Subject: | Affine term structure models | discrete-time | Giacomini-White tests | quadratic term structure models | squared Gaussian shocks | Theorie | Theory | Zinsstruktur | Yield curve |
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