Local-momentum autoregression and the modeling of interest rate term structure
Year of publication: |
October 2016
|
---|---|
Authors: | Duan, Jin-Chuan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 2, p. 349-359
|
Subject: | ARMA-Modell | ARMA model | Mean Reversion | Mean reversion | Zinsstruktur | Yield curve |
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