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Mathematical finance : an international journal of mathematics, statistics and financial economics
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A note on the
long
rate
in factor models of the term structure
Kort, Jan de
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 656-667
Persistent link: https://www.econbiz.de/10011969092
Saved in:
2
Social discounting and the
long
rate
of interest
Brody, Dorje C.
;
Hughston, Lane P.
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 306-334
Persistent link: https://www.econbiz.de/10011969159
Saved in:
3
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Saved in:
4
Estimating the
long
rate
and its volatility
Annaert, Jan
;
Claes, Anouk G. P.
;
De Ceuster, Marc J.
; …
- In:
Economics letters
129
(
2015
),
pp. 100-102
Persistent link: https://www.econbiz.de/10011422029
Saved in:
5
Estimating the
long
rate
and its volatility
Annaert, Jan
;
Claes, Anouk G.P.
;
Ceuster, Marc J.K. De
; …
- In:
Economics Letters
129
(
2015
)
C
,
pp. 100-102
We estimate the
long
rate
and its volatility within the Svensson framework. The procedure that best extrapolates the …
Persistent link: https://www.econbiz.de/10011263439
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