An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
Year of publication: |
2003
|
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Authors: | Jagannathan, Ravi ; Kaplin, Andrew ; Sun, Steve |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 116.2003, 1/2, p. 113-146
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Subject: | Zinsstruktur | Yield curve | Geldmarkt | Money market | Swap | Modellierung | Scientific modelling | Statistischer Test | Statistical test | Theorie | Theory |
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