The dynamics of the forward interest rate curve with stochastic string shocks
Year of publication: |
2001
|
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Authors: | Santa-Clara, Pedro ; Sornette, Didier |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 14.2001, 1, p. 149-185
|
Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Schock | Shock | Theorie | Theory | Schätzung | Estimation | USA | United States | 1998-1999 |
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