Term structure estimation in the presence of autocorrelation
Year of publication: |
2014
|
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Authors: | Juneja, Januj |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 28.2014, p. 119-129
|
Subject: | Affine term structure model | Principal components analysis | Autocorrelation misspecification | Monte Carlo simulation | Maximum likelihood estimation | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Maximum-Likelihood-Schätzung | Autokorrelation | Autocorrelation |
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