Switiching VARMA term structure models
Year of publication: |
2007
|
---|---|
Authors: | Monfort, Alain ; Pegoraro, Fulvio |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 5.2007, 1, p. 105-153
|
Subject: | Zinsstruktur | Yield curve | Modellierung | Scientific modelling | ARMA-Modell | ARMA model | Diskontierung | Discounting | Stochastischer Prozess | Stochastic process | Zero-Bond | Zero-coupon bond | Zinsderivat | Interest rate derivative | Theorie | Theory | USA | United States | 1964-1995 |
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