Tests of non linear Gaussian term structure models
Year of publication: |
September 2016
|
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Authors: | Realdon, Marco |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 44.2016, p. 128-147
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Subject: | Quadratic model | Black model | Vasicek model | Black-Karasinski model | Method of lines | Extended Kalman filter | Zinsstruktur | Yield curve | Theorie | Theory | Zustandsraummodell | State space model |
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