What Drives Short Rate Dynamics? A Functional Gradient Descent Approach
Year of publication: |
2012
|
---|---|
Authors: | Audrino, Francesco |
Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 39.2012, 3, p. 315-335
|
Publisher: |
Society for Computational Economics - SCE |
Subject: | Functional gradient descent | Short rate process | Macroeconomic variables | Time-varying drift and volatility dynamics |
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