An Affine Factor Model of the Greek Term Structure
Year of publication: |
2008-05
|
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Authors: | Balfoussia, Hiona |
Institutions: | Bank of Greece |
Subject: | Term structure | Affine factors | Stochastic discount factor | Kalman filter |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 72 34 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; G1 - General Financial Markets |
Source: |
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