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~institution:"Banque de France"
~institution:"Department of Economics and Business, Universitat Pompeu Fabra"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~person:"Pegoraro, F."
~person:"Siddiqi, Hammad"
~subject:"Derivative Pricing"
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Banque de France
Department of Economics and Business, Universitat Pompeu Fabra
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Switching VARMA Term Structure Models - Extended Version.
Monfort, A.
;
Pegoraro, F.
-
Banque de France
-
2007
capture simultaneously the following important features : (i) an historical
dynamics
of the factor driving term structure …
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