An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play
Year of publication: |
2009-12-10
|
---|---|
Authors: | Gonzalez-Astudillo, Manuel |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Yield curve | Recursive preferences | Logistic stochastic volatility | Nonlinear Kalman filter | Quadrature-based methods |
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