Modelling and forecasting international interest rate spreads : UK, Germany, Japan and the USA
Year of publication: |
2014
|
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Authors: | Gough, Orla ; Nowman, Kalid Ben ; Van Dellen, Stefan |
Published in: |
International journal of financial engineering and risk management. - Olney : Inderscience, ISSN 2049-0909, ZDB-ID 2735250-X. - Vol. 1.2014, 4, p. 309-333
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Subject: | continuous time | Gaussian estimation | ARMA | ARIMA | ARFIMA | time series | spreads | forecasting | international | modelling | UK | Germany | Japan | USA | risk management | Deutschland | United States | Zeitreihenanalyse | Time series analysis | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | ARMA-Modell | ARMA model | Großbritannien | United Kingdom |
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