Short rate forecasting based on the inference from the cir model for multiple yield curve dynamics
Year of publication: |
March 2016
|
---|---|
Authors: | Hin, Lin-Yee ; Dokučaev, Nikolaj G. |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 11.2016, 1, p. 1-33
|
Subject: | Interest rates | CIR spot rate model | optimization | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Zins | Interest rate | Theorie | Theory |
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