Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models
Year of publication: |
July 2017
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Authors: | Tunaru, Diana |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 52.2017, p. 119-129
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Subject: | Continuous-time models | Forecasting | Gaussian estimation | Multi-factor diffusion models with feedbacks | Term structure of interest rates | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Großbritannien | United Kingdom | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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