Forecasting the Interest-Rate Term Structure : Using the Model of Fong & Vasicek, the Extended Kalman Filter and the Bollinger Bands
Year of publication: |
[2008]
|
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Authors: | Rostan, Pierre |
Other Persons: | Théoret, Raymond (contributor) ; El Moussadek, Abdeljalil (contributor) |
Publisher: |
[2008]: [S.l.] : SSRN |
Extent: | 1 Online-Ressource (21 p) |
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Type of publication: | Book / Working Paper |
Other identifiers: | 10.2139/ssrn.671581 [DOI] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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