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tractable for asset pricing applications. We extend classical specifications within and outside of the affine class to multi … dynamics that explain the inadequate performance of nested models. Finally, we explore the bond pricing implications and …
Persistent link: https://www.econbiz.de/10005063579
the (latent) integrated volatility of primary import from a pricing perspective based on simple reduced form time series …
Persistent link: https://www.econbiz.de/10005100878